Breaking Bad: Parameter Uncertainty Caused by Structural Breaks in Stocks
This paper introduces break-age, a novel measure for parameter uncertainty caused by structural breaks, and demonstrates its significance in stock pricing.
2024-01-01
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
2020-02-05
Turbulence in the Cross-Section: Predicting Factor Premia
We show that parameter uncertainty based on the turbulence within each cross-section of factor portfolios produces a significant out-of-sample forecast for six out of seven tested Fama-French risk factors.
2018-07-28