Research

Published on 2024-01-01

Publications

Time-Varying Risk Aversion and International Stock Returns, 2025, with M. Guidolin and E. Hansen. The North American Journal of Economics and Finance, vol. 75, p.102271.
⤓ Working Paper
Forecasting the Volatility of U.S. Oil and Gas Firms with Machine Learning, 2024, with J. Díaz and E. Hansen. Journal of Forecasting.
⤓ Lyócsa and Todorova’s Original Data ⤓ Sample (up to 2019)
Machine-Learning Stock Market Volatility: Predictability, Drivers, and Economic Value, 2024, with J. Díaz and E. Hansen. International Review of Financial Analysis, vol. 94, p.103286.
⤓ Long Data (up to 2019) ⤓ Short Data (up to 2019)
Gold Risk Premium Estimation with Machine Learning Methods, 2023, with J. Díaz and E. Hansen. Journal of Commodity Markets, vol. 31, p. 100293.
⤓ Original Data (up to 2019)
Economic Drivers of Commodity Volatility: The Case of Copper, 2021, with J. Díaz and E. Hansen. Resources Policy, vol. 73, p. 102224.
⤓ Sample (up to 2020)
A Random Walk Through The Trees: Forecasting Copper Prices Using Decision Learning Methods, 2020, with J. Díaz and E. Hansen. Resources Policy, vol. 69, p. 101859.
⤓ Sample (up to 2020)

On The Relationship between Excess Real Estate Returns and The Macroeconomy Under a Big Data Lens: Evidence from The US, Canada, and The UK, with J. Díaz and E. Hansen.
Latest draft December 2024
Strategic Competition Timing of Voluntary Disclosure: Evidence from Analyst/Investor Days, with O. Kolokolova and S. Sarah Zhang.
Latest draft August 2024

Save The Date: Analyst/Investor Days as a Trading Signal, with O. Kolokolova and S. Sarah Zhang.
Price Discovery Around Voluntary Disclosure Events, with O. Kolokolova and S. Sarah Zhang.