Search Results - "Dossani, Asad"

Estimation and inference in low frequency factor model regressions with overlapping observations by Dossani, Asad

“…A low frequency factor model regression uses changes or returns computed at a lower frequency than data available. Using overlapping observations to estimate…”
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Central bank tone and currency risk premia by Dossani, Asad

“…•Central bank press conferences are classified as hawkish or dovish.•Hawkish tone is associated with a decline in the variance risk premium.•Hawkish tone is…”
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Monetary policy and currency variance risk premia by Dossani, Asad

“…I analyze how the stance of monetary policy predicts variance risk premia in the currency market. The stance of monetary policy is measured using the shadow…”
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Uncertainty and investment: Evidence from domestic oil rigs by Dossani, Asad, Elder, John

“…We provide new evidence on the response of investment to uncertainty, using granular and high‐frequency (weekly) data on domestic oil drilling and oil prices…”
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Uncertainty and energy extraction by Dossani, Asad, Elder, John

“…We examine the effects of uncertainty by investigating the effects of oil price uncertainty on employment in domestic oil and gas extraction. This industry is…”
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Direct Versus Iterated Multiperiod Volatility Forecasts by Ghysels, Eric, Plazzi, Alberto, Valkanov, Rossen, Rubia, Antonio, Dossani, Asad

“…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…”
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Option augmented density forecasts of market returns with monotone pricing kernel by Beare, Brendan K., Dossani, Asad

“…Basic financial theory indicates that the ratio of the conditional density of the future value of a market index and the corresponding risk neutral density…”
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Essays on Inference from Option Markets by Dossani, Asad Rafiq

“…This dissertation consists of three chapters that analyze the economic information contained in option markets. Option markets are forward looking, and thus…”
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