Zobrazeno 1 - 10
of 45
pro vyhledávání: '"Rossen Valkanov"'
Publikováno v:
Annual Review of Financial Economics. 11:173-195
Multiperiod-ahead forecasts of returns’ variance are used in most areas of applied finance where long-horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In thi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::37da69ffdfae5398f59cff3978a12130
https://doi.org/10.1146/annurev-financial-110217-022808
https://doi.org/10.1146/annurev-financial-110217-022808
Publikováno v:
Annual Review of Financial Economics. 11:153-171
We survey the properties of commercial real estate (CRE) as an asset class. We first illustrate its importance relative to the US economy and to other asset classes. We then discuss CRE ownership patterns over time. While the academic literature has
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e7d6f3ab24b366f3d397d8e33d200e33
https://doi.org/10.1146/annurev-financial-110118-123121
https://doi.org/10.1146/annurev-financial-110118-123121
Publikováno v:
SSRN Electronic Journal.
The Case-Shiller is the reference repeat-sales index for the U.S. residential real estate market, yet it is released with a two-month delay. We find that incorporating recent information from 71 financial and macro predictors improves backcasts, now-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::42ffecf58d1750e4e38d541f94f6cc9d
https://doi.org/10.2139/ssrn.3798356
https://doi.org/10.2139/ssrn.3798356
Autor:
Michael Reher, Rossen Valkanov
Publikováno v:
SSRN Electronic Journal.
We document that mortgaged homebuyers pay an 11% premium relative to all-cash buyers in residential real estate transactions. This premium far exceeds the 3\% premium implied by a realistically calibrated model of rational home sellers with transacti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::518826b5db130b472bf12178443e5aba
https://doi.org/10.2139/ssrn.3751917
https://doi.org/10.2139/ssrn.3751917
Publikováno v:
SSRN Electronic Journal.
We identify the response of corporate bond credit spreads to three exogenous macroeconomic shocks: oil supply, investment-specific technology, and government spending. The response is large, significant, and close to a mirror image of the response of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f0eb96ab4cd9a4b37496ca5f6f27644
https://doi.org/10.2139/ssrn.3677936
https://doi.org/10.2139/ssrn.3677936
Publikováno v:
The Review of Economic Studies. 86:694-722
We study complexity in the market for securitized products, a market at the heart of the financial crisis of 2007–9. The complexity of these products rose substantially in the years preceding the financial crisis. We find that securities in more co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fabd4d12da6ef2e77dddda6d151af888
https://doi.org/10.1093/restud/rdx071
https://doi.org/10.1093/restud/rdx071
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::585c53d387d8113d85089816132be470
https://doi.org/10.2139/ssrn.3321032
https://doi.org/10.2139/ssrn.3321032
Publikováno v:
The Journal of Finance. 71:2145-2192
We propose a quantile-based measure of conditional skewness, particularly suitable for handling recalcitrant emerging market (EM) returns. The skewness of international stock market returns varies significantly across countries over time, and persist
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::72b3221adbaabec207f392c7c7ff1127
https://doi.org/10.1111/jofi.12420
https://doi.org/10.1111/jofi.12420
Autor:
Andra C. Ghent, Rossen Valkanov
Publikováno v:
Management Science. 62:2784-2803
We assemble a unique data set of commercial mortgages with information on loan characteristics at origination and subsequent performance. The most significant difference between securitized and balance sheet loans is the size of the loan. The loans i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0b2b559475818ff9f8a99b048f6ae2c8
https://doi.org/10.1287/mnsc.2015.2260
https://doi.org/10.1287/mnsc.2015.2260
Publikováno v:
Pettenuzzo, D, Timmermann, A & Valkanov, R 2016, ' A MIDAS approach to modeling first and second moment dynamics ', Journal of Econometrics, vol. 193, no. 2, pp. 315-334 . https://doi.org/10.1016/j.jeconom.2016.04.009
We propose a new approach to predictive density modeling that allows for MIDAS effects in both the first and second moments of the outcome. Specifically, our modeling approach allows for MIDAS stochastic volatility dynamics, generalizing a large lite
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ccc948796b49abf873c9790a6440eff0
https://pure.au.dk/portal/da/publications/a-midas-approach-to-modeling-first-and-second-moment-dynamics(cd545609-24b3-492b-8227-cec188bac6e4).html
https://pure.au.dk/portal/da/publications/a-midas-approach-to-modeling-first-and-second-moment-dynamics(cd545609-24b3-492b-8227-cec188bac6e4).html
