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Commodity Tails and Bond Risk Premia

https://doi.org/10.2139/ssrn.5037544
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Geopolitical risk and dynamic connectedness between commodity markets
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Stock return predictability over four centuries: The role of commodity returns
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Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China
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Financialization, crisis and commodity correlation dynamics
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Shock and volatility transmission in the oil, US and Gulf equity markets
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Financial crises and the nature of correlation between commodity and stock markets
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Good oil volatility, bad oil volatility, and stock return predictability
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Commodity prices and GDP growth
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Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
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Oil price increases and the predictability of equity premium
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Bank liquidity creation and systemic risk
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Commodity prices, money and inflation
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Approximately normal tests for equal predictive accuracy in nested models
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Real-time Bayesian learning and bond return predictability
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Global, local, and contagious investor sentiment
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Time Series Momentum
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Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme
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News implied volatility and disaster concerns
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Time series momentum: Is it there?
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What moves treasury yields?
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Treasury option returns and models with unspanned risks
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Measuring macroeconomic tail risk
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International Bond Risk Premia
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A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns
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The U.S. Treasury yield curve: 1961 to the present
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Energy price shocks and medium-term business cycles
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The cross-section and time series of stock and bond returns
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Oil price volatility and the macroeconomy
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Forecasting inflation
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What is an Oil Shock?
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Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
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Energy prices and aggregate economic activity: an interpretative survey
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Crash Sensitivity and the Cross Section of Expected Stock Returns
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Equity Trading Activity and Treasury Bond Risk Premia
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FRED-MD: A Monthly Database for Macroeconomic Research
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Volatility contagion across commodity, equity, foreign exchange and Treasury bond markets
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Parsimonious Modeling of Yield Curves
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Macroeconomic Drivers of Bond and Equity Risks
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Uncertainty Shocks as Second-Moment News Shocks
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Bond Risk Premiums with Machine Learning
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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Macro Factors in Bond Risk Premia
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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
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Tail Risk and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhu080openalex-snapshot
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
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Expected Returns in Treasury Bonds
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Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.1093/rfs/hhx096openalex-snapshot
Robust Bond Risk Premia
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Tests of Conditional Predictive Ability
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Why Has U.S. Inflation Become Harder to Forecast?
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Presidential Address: Discount Rates
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Market Expectations in the Cross‐Section of Present Values
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Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets
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A Simple General Approach to Inference About the Tail of a Distribution
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Oil and the Macroeconomy Since the 1970s
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Credit Spreads and Business Cycle Fluctuations
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Vulnerable Growth
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Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
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Forecasting Output and Inflation: The Role of Asset Prices
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Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
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Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach
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Stock Market Predictability and Industrial Metal Returns
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Tail Risk Concerns Everywhere
inferredcites →https://doi.org/10.1287/mnsc.2020.3852openalex-snapshot
Unspanned Global Macro Risks in Bond Returns
inferredcites →https://doi.org/10.1287/mnsc.2022.4328openalex-snapshot
Global Disaster Risk Matters
inferredcites →https://doi.org/10.1287/mnsc.2023.4797openalex-snapshot
Financialization and Commodity Markets Serial Dependence
inferredcites →https://doi.org/10.17016/ifdp.2003.780openalex-snapshot
Forecasting U.S. Inflation by Bayesian Model Averaging
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The Cross-Section and Time-Series of Stock and Bond Returns
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Market Expectations in the Cross Section of Present Values
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Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
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Intermediary Balance Sheets and the Treasury Yield Curve
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Intermediary Balance Sheets and the Treasury Yield Curve
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On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
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Hypothesis Testing with Efficient Method of Moments Estimation
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Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
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Forecasting Output and Inflation: The Role of Asset Prices
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