Forecasting stock volatility is of great interest to academics and practitioners because
volatility has important implications for many areas such as risk management and portfolio …

This study is epicentral to analyzing the impact of futures volatility on portfolio and risk
management, as extant literature indicates the challenges of using economic variables that …

Analyst recommendations convey valuable market‐wide information which implies analyst
rating should generate reliable predictability for future market returns. This paper examines …

Motivated by the puzzling null impact of high‐frequency‐based jumps on future volatility, this
paper exploits the rich information content in high‐frequency jump intensity with a mark …

This paper investigates whether the impacts of the futures-spot spread and skewness on the
interdependence between spot and futures markets differ across regimes (backwardation …

In this paper, we investigate the predictive power of signals imputed from the cross‐section
of stock returns—namely cross‐sectional volatility, skewness, and kurtosis—to forecast the …

Abstract Jondeau et al.(2020) find evidence that average stock return skewness predicts
stock market returns. Although this evidence is consistent with asset pricing theory, we are …

This paper hypothesizes that long-short multi-factor investors perceive correlations between
factors as being close to zero. Consequently, they should prioritize factor variances over …

This paper discusses the changes of Taiwan stock index futures'(TF) return rate before and
during COVID-19, using the nonlinear regression model to compare the differences as the …