Most recent papers 

You will find some of my recent research - working papers and published - arranged by themes. Links to older papers appear at the bottom of the page.

Mixed Data Sampling (MIDAS)

MIDAS entry to Wikipedia    (Entry written by Dirk Nachbar)

Ex Ante Skewness and the Cross-section of Expected Returns (with  J. Conrad and R. Dittmar)

Working papers

The High Frequency Data GARCH Model (with Xilong Chen and Fangfang Wang)  

Should macroeconomic forecasters look at daily financial data? (with Elena Andreou and Andros Kourtellos)  

Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches (with Antonio Rubia and Rossen Valkanov)  

A Component Model of Dynamic Correlations (with Riccardo Colacito and Robert Engle)  

On the Economic Sources of Stock Market Volatility (with Robert Engle and Bumjean Sohn)  

Statistical Inference for Volatility Component Models  (with Fangfang Wang)  

News - Good or Bad - and its Impact Over Multiple Horizons  (with Xilong Chen)  

Forthcoming papers

Forecasting Professional Forecasters (with J. Wright)  Journal of Business and Economic Statistics (forthcoming)

The Impact of Risk and Uncertainty on Expected Returns  (with E. Anderson and J. Juergens) Journal of Financial Economics (forthcoming)

Which Power Variation Predicts Volatility Well? (with Bumjean Sohn) Journal of Empirical Finance (forthcoming)

Regression Models With Mixed Sampling Frequencies (with Elena Andreou and Andros Kourtellos)  Journal of Econometrics (forthcoming)

Volatility Forecasting and Microstructure Noise (with Arthur Sinko)  Detailed Appendix: Forecasting and Microstructure Noise  Journal of Econometrics (forthcoming)

Published papers

There is a Risk-return Trade-off After All (with P. Santa Clara and R. Valkanov) Journal of Financial Economics, 76, 509-548.

Predicting volatility: How to get most out of returns data sampled at different frequencies (with P. Santa-Clara and R. Valkanov)  Journal of Econometrics 131, 59-95

MIDAS Regressions: Further Results and New Directions (with A. Sinko and R. Valkanov) Econometric Reviews, 26, 53-90

Why Do Absolute Returns Predict Volatility So Well? (with Lars Forsberg) Journal of Financial Econometrics, 5, 31-67

Valuation in the US Commercial Real Estate  (with A. Plazzi and Ross Valkanov) European Financial Management, 13, 472-497.

Matlab software for MIDAS regressions

The Matlab code was written by Arthur Sinko (email: sinko@email.unc.edu) and uses two series X & Y to construct the MIDAS regressions. It can simultaneously:

- compute weights of restricted/unrestricted "standard" Beta polynomial

- compute weights of restricted/unrestricted Beta polynomial with non-zero last lag (Warning: This specification has an identification problem for the equally-weighted/close to the equally weighted schemes)

- compute weights of restricted/unrestricted Exp polynomial

- compute weights of MIDAS with step functions (nonnegative and general)

- compute weights of Almon lag polynomial.

- plot all of the above.

All suggestions/bugs/cases of strange behavior are very welcome to report to Arthur Sinko. The main program file is: midas_example.m

The code can be downloaded at:  http://www.unc.edu/~sinko/MATLAB.html

 

 

Quality Control for Risk Management

Forthcoming papers

Structural Breaks in Financial Time Series (with E. Andreou)  Handbook of Financial Time Series (forthcoming)

Published papers

Detecting multiple breaks in financial market volatility dynamics (with E. Andreou) Journal of Applied Econometrics, 17, 579-600.

Tests for breaks in the conditional co-movements of asset returns (with E. Andreou) Statistica Sinica, 13, 1045-1074.

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests (with E. Andreou) Journal of Financial Econometrics, 2, 290-318.

Monitoring Distortions in Financial Markets (with E. Andreou)  Journal of Econometrics, 135, 77-124.

Quality Control for Structural Credit Risk (with E. Andreou)  Journal of Econometrics, 146, 364-375.

Heterogeneity, Model Uncertainty and Asset Pricing

Working papers

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (with  F. Chabi-Yo and E. Renault)

Published/forthcoming papers

Do Heterogeneous Beliefs Matter for Asset Pricing?  (with E. Anderson and J. Juergens) Review of Financial Studies, 18, 875-924.

The Impact of Risk and Uncertainty on Expected Returns  (with E. Anderson and J. Juergens) Journal of Financial Economics (forthcoming)

Skewness

Ex Ante Skewness and the Cross-section of Expected Returns (with  J. Conrad and R. Dittmar)

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk (with  F. Chabi-Yo and E. Renault)

Financial History

Price Momentum in Stocks: Using Data from the Victorian Age to Evaluate Competing Theories, (with Ben Chabot and Ravi Jagannathan) 

Econometric Theory and Applications papers

Approximating the probability distribution of functions of random variables: A new approach, (with Anders Eriksson and Lars Forsberg) 




Older papers 


Click here for links to SSRN downloadable papers

Click here for links to CIRANO downloadable papers

Click here for links to EconPapers downloadable papers

Click here for links to IDEAS downloadable papers

 
 









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