We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting
stock market returns. Rather than summing the parts of stock returns, we suggest summing …

This study investigates the hedging effectiveness of a dynamic moving‐window OLS
hedging model, formed using wavelet decomposed time‐series. The wavelet transform is …

В коллективной монографии кафедры фондового рынка и рынка инвестиций НИУ ВШЭ
представлены результаты научных исследований по развитию инновационных …

This paper investigates a set of realised higher‐order co‐moment risk–return relationships
in the Australian stock market. We test the predictive power of the asset pricing model by …

We propose new systematic tail risk measures constructed using two different approaches.
The first is a non-parametric measure that captures the tendency of a stock to crash at the …

We extract cycles from the term spread and study their role for predicting the equity premium
using linear models. When properly extracted, the trend of the term spread is a strong and …

We analyse whether the idiosyncratic risk puzzle reported by Ang et al. can be explained by
the existence of market participants with different investment horizons. We adopt a wavelet …

This paper aims to examine the potential for portfolio returns by adding together
conventional and energy stocks with varying proportions. We examine the risk and return …

Any time series can be decomposed into cyclical components fluctuating at different
frequencies. Accordingly, in this paper, we propose a method to forecast the equity premium …

This study examines the multiscale links between economic policy uncertainty (EPU) and
sectoral stock returns in China, India, the UK, and the US. We find that the impact of …