3 papers
q-fin.GN2026
Skewness Dispersion and Stock Market Returns
Mykola Babiak, Jozef Barunik, Josef Kurka
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is ro…
q-fin.GN2026
Volatility Shocks and Currency Returns
Mykola Babiak, Jozef Barunik
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connection…
q-fin.GN2026
Deep Learning, Predictability, and Optimal Portfolio Returns
Mykola Babiak, Jozef Barunik
We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural netwo…