Related Variance Risk Premia: Term Structure and Stock Return Predictability

Related Variance Risk Premia: Term Structure and Stock Return Predictability
Author :
Publisher :
Total Pages :
Release :
ISBN-10 : OCLC:1227253032
ISBN-13 :
Rating : 4/5 ( Downloads)

Book Synopsis Related Variance Risk Premia: Term Structure and Stock Return Predictability by : Ying-Chen Hung

Download or read book Related Variance Risk Premia: Term Structure and Stock Return Predictability written by Ying-Chen Hung and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:


Related Variance Risk Premia: Term Structure and Stock Return Predictability Related Books

Related Variance Risk Premia: Term Structure and Stock Return Predictability
Language: en
Pages:
Authors: Ying-Chen Hung
Categories:
Type: BOOK - Published: 2019 - Publisher:

DOWNLOAD EBOOK

The Variance Risk Premium
Language: en
Pages: 39
Authors: Junye Li
Categories:
Type: BOOK - Published: 2016 - Publisher:

DOWNLOAD EBOOK

This paper examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility
Term Structure of Variance Risk Premium and Returns' Predictability
Language: en
Pages: 49
Authors: Giacomo Bormetti
Categories:
Type: BOOK - Published: 2016 - Publisher:

DOWNLOAD EBOOK

We derive an analytic relation between equity risk premium and the term structure of variance risk premium (VRP). Motivated by this result, we estimate the VRP
Expected Stock Returns and Variance Risk Premia
Language: en
Pages: 58
Authors: Tim Bollerslev
Categories: Stocks
Type: BOOK - Published: 2007 - Publisher:

DOWNLOAD EBOOK

Stock Return Predictability and Variance Risk Premia
Language: en
Pages: 0
Authors:
Categories:
Type: BOOK - Published: 2011 - Publisher:

DOWNLOAD EBOOK