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.
New working papers (across my different areas of research)
Forecasting with mixed-frequency data, (with Elena Andreou and Andros Kourtellos) - Chapter prepared for Oxford Handbook on Economic Forecasting edited by Michael P.
Clements and David F. Hendry
The HYBRID GARCH Class of Models, (with Xilong Chen and Fangfang Wang) News - Good or Bad - and its impact on volatility predictions over multiple horizons (with Xilong Chen) - New Version
State Space Models and MIDAS Regressions, (with Jennie Bai and Jonathan Wright)
In-sample Asymptotics and Across-sample Efficiency Gains for High Frequency Data Statistics, (with Per Mykland and Eric Renault)
On the role of Intra-Daily Seasonality in HYBRID
GARCH Models, (with Xilong Chen and Fangfang Wang)
Ex Ante Skewness and Expected Stock Returns, (with
Jennifer Conrad and Bob Dittmar)
Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression Us Stock Markets, (with
Ben Chabot and Ravi Jagannathan) Working, forthcoming and published papers by area of research Mixed Data Sampling (MIDAS) MIDAS entry to
Wikipedia
(Entry written by Dirk Nachbar)
Working papers
The HYBRID GARCH Class of Models, (with Xilong Chen and Fangfang Wang)
State Space Models and MIDAS Regressions, (with Jennie Bai and Jonathan Wright) On the role of Intra-Daily Seasonality in HYBRID
GARCH Models (with
Xilong Chen and Fangfang Wang) Should macroeconomic forecasters look at daily
financial data? (with Elena Andreou and Andros Kourtellos) - Updated version coming soon. 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 on volatility predictions over multiple horizons (with Xilong Chen) - New Version Forthcoming papers
Forecasting with mixed-frequency data, (with Elena Andreou and Andros Kourtellos) - Chapter prepared for Oxford Handbook on Economic Forecasting edited by Michael P.
Clements and David F. Hendry 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.
The Impact of Risk and Uncertainty on Expected Returns
(with E. Anderson and J. Juergens) Journal of Financial Economics, 94, 233-263. Forecasting Professional Forecasters (with J. Wright)
Journal of Business and Economic Statistics, 27, 504-516. Which Power Variation Predicts Volatility Well? (with Bumjean Sohn) Journal of Empirical Finance, 16, 686-700 Matlab software for MIDAS regressions NEW MIDAS MATLAB CODE COMING SOON! The Matlab code was written by Arthur Sinko (email: Arthur.Sinko@manchester.ac.uk) 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 Research on Volatility
Working papers
The HYBRID GARCH Class of Models, (with Xilong Chen and Fangfang Wang)
In-sample Asymptotics and Across-sample Efficiency Gains for High Frequency Data Statistics, (with Per Mykland and Eric Renault) On the role of Intra-Daily Seasonality in HYBRID
GARCH Models (with
Xilong Chen and Fangfang Wang) 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 on volatility predictions over multiple horizons (with Xilong Chen) - New Version Forthcoming papers 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 Why Do Absolute Returns Predict Volatility So Well? (with
Lars Forsberg) Journal of Financial Econometrics, 5, 31-67
The Impact of Risk and Uncertainty on Expected Returns
(with E. Anderson and J. Juergens) Journal of Financial Economics, 94, 233-263. Which Power Variation Predicts Volatility Well? (with Bumjean Sohn) Journal of Empirical Finance, 16, 686-700 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, 94, 233-263. Skewness Ex Ante Skewness and Expected Stock Returns, (with
Jennifer Conrad and Bob 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) Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression Us Stock Markets,
(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 CIRANO downloadable papers Click
here for links to EconPapers downloadable papers Click
here for links to IDEAS downloadable papers
Click
here for links to SSRN downloadable papers
