“...Average skewness, which is the average of monthly skewness values across firms, performs well at predicting future market returns. This prediction still holds...”

“...Systemic risk may be defined as the propensity of a financial institution to be undercapitalized when the financial system as a whole is undercapitalized. In...”

“...In this paper, we show that the individual skewness, defined as the average of monthly skewness across firms, performs very well at predicting the return of...”

“...Recent portfolio-choice, asset-pricing, value-at-risk, and option-valuation models highlight the importance of modeling the asymmetry and tail-fatness of...”

“...The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on...”

“...It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and...”

“...The Gram–Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal...”

“...Previous research has provided evidence that in the last decade, investing according to screening based on environmental, social, and governance (ESG) criteria...”

“...Most rational expectations models involve equations in which the dependent variable is a function of its lags and its expected future value. We investigate the...”

“...The “New Keynesian” Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether the inflation dynamics in...”