Search Results - "Valkanov, Rossen"

Forecasting stock returns under economic constraints by Pettenuzzo, Davide, Timmermann, Allan, Valkanov, Rossen

“…We propose a new approach to imposing economic constraints on time series forecasts of the equity premium. Economic constraints are used to modify the…”
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Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality by BOONS, MARTIJN, OTTONELLO, GIORGIO, VALKANOV, ROSSEN

“…ABSTRACT The response of corporate bond credit spreads to three exogenous macro shocks—oil supply, investment‐specific technology, and government spending—is…”
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Complexity in Structured Finance by GHENT, ANDRA C., TOROUS, WALTER N., VALKANOV, ROSSEN I.

“…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…”
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Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns by Brandt, Michael W., Santa-Clara, Pedro, Valkanov, Rossen

“…We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the…”
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Predicting volatility: getting the most out of return data sampled at different frequencies by Ghysels, Eric, Santa-Clara, Pedro, Valkanov, Rossen

“…We consider various mixed data sampling (MIDAS) regressions to predict volatility. The regressions differ in the specification of regressors (squared returns,…”
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There is a risk-return trade-off after all by Ghysels, Eric, Santa-Clara, Pedro, Valkanov, Rossen

“…This paper studies the intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a…”
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A MIDAS approach to modeling first and second moment dynamics by Pettenuzzo, Davide, Timmermann, Allan, Valkanov, Rossen

“…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…”
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Expected Returns and Expected Growth in Rents of Commercial Real Estate by Plazzi, Alberto, Torous, Walter, Valkanov, Rossen

“…Commercial real estate expected returns and expected rent growth rates are time-varying. Relying on transactions data from a cross-section of U.S. metropolitan…”
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Do industries lead stock markets? by Torous, Walter, Valkanov, Rossen, Hong, Harrison

“…We investigate whether the returns of industry portfolios predict stock market movements. In the US, a significant number of industry returns, including…”
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MIDAS Regressions: Further Results and New Directions by Ghysels, Eric, Sinko, Arthur, Valkanov, Rossen

“…We explore mixed data sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Volatility and…”
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Commercial Real Estate as an Asset Class by Ghent, Andra C, Torous, Walter N, Valkanov, Rossen I

“…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…”
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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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The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations by Plazzi, Alberto, Torous, Walter, Valkanov, Rossen

“…We estimate the cross‐sectional dispersions of returns and growth in rents for commercial real estate using data on U.S. metropolitan areas over the sample…”
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The Mortgage‐Cash Premium Puzzle by REHER, MICHAEL, VALKANOV, ROSSEN

“…ABSTRACT All‐cash homebuyers account for one‐third of U.S. home purchases between 1980 and 2017. We use multiple data sets and research designs to robustly…”
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Valuation in US Commercial Real Estate by Ghysels, Eric, Plazzi, Alberto, Valkanov, Rossen

“…We consider a log‐linearized version of a discounted rents model to price commercial real estate as an alternative to traditional hedonic models. First, we…”
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Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry by GHYSELS, ERIC, PLAZZI, ALBERTO, VALKANOV, ROSSEN

“…We propose a quantile-based measure of conditional skewness, particularly suitable for handling recalcitrant emerging market (EM) returns. The skewness of…”
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Functional Central Limit Theorem approximations and the distribution of the Dickey–Fuller test with strongly heteroskedastic data by Valkanov, Rossen

“…We simulate the small-sample distribution of the Dickey–Fuller (DF) test with data generated from various GARCH(1,1) processes where the parameters α and β are…”
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Comparing Securitized and Balance Sheet Loans: Size Matters by Ghent, Andra, Valkanov, Rossen

“…We assemble a unique data set of commercial mortgages with information on loan characteristics at origination and subsequent performance. The most significant…”
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Long-horizon regressions: theoretical results and applications by Valkanov, Rossen

“…I use asymptotic arguments to show that the t-statistics in long-horizon regressions do not converge to well-defined distributions. In some cases, moreover,…”
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The Presidential Puzzle: Political Cycles and the Stock Market by Santa-Clara, Pedro, Valkanov, Rossen

“…The excess return in the stock market is higher under Democratic than Republican presidencies: 9 percent for the value-weighted and 16 percent for the…”
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