Results for return predictability

Publications & Outputs

1. On the Right Jump Tail Inferred from the VIX Market

   Li, Z., Yao, X. & Izzeldin, M., 31/03/2023, In: International Review of Financial Analysis. 86, 19 p., 102507.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review

2. Return predictability of variance differences: A fractionally cointegrated approach

   Li, Z., Izzeldin, M. & Yao, X., 1/07/2020, In: Journal of Futures Markets. 40, 7, p. 1072-1089 18 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review

3. Option implied volatility measures and stock return predictability

   Fu, X., Arisoy, Y. E., Shackleton, M. B. & Umutlu, M., 1/08/2016, In: Journal of Derivatives. 24, 1, p. 58-78 21 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review