Does beta move with news? Systematic risk and firm-specific information flows
This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically significant amount on days...
DP 630
Common Factors in Conditional Distributions for Bivariate Time Series
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...
DP 455
Common factors in conditional distributions for Bivariate time series
A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product...
DP 455
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The...
DP 431
