Expected Stock Returns and Variance Risk Premia

Expected Stock Returns and Variance Risk Premia
Author :
Publisher :
Total Pages : 58
Release :
ISBN-10 : CORNELL:31924105486157
ISBN-13 :
Rating : 4/5 ( Downloads)

Book Synopsis Expected Stock Returns and Variance Risk Premia by : Tim Bollerslev

Download or read book Expected Stock Returns and Variance Risk Premia written by Tim Bollerslev and published by . This book was released on 2007 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:


Expected Stock Returns and Variance Risk Premia Related Books

Expected Stock Returns and Variance Risk Premia
Language: en
Pages: 58
Authors: Tim Bollerslev
Categories: Stocks
Type: BOOK - Published: 2007 - Publisher:

DOWNLOAD EBOOK

Volatility of Volatility, Expected Stock Return and Variance Risk Premium
Language: en
Pages: 34
Authors: Ruoyang Wang
Categories:
Type: BOOK - Published: 2015 - Publisher:

DOWNLOAD EBOOK

Theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk premium. We empirically investigate the relatio
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
Variance Premium, Downside Risk and Expected Stock Returns
Language: en
Pages: 50
Authors: Bruno Feunou
Categories: Electronic books
Type: BOOK - Published: 2017 - Publisher:

DOWNLOAD EBOOK

'We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large
Moment Risk Premia and the Cross-Section of Stock Returns
Language: en
Pages: 41
Authors: Richard D. F. Harris
Categories:
Type: BOOK - Published: 2018 - Publisher:

DOWNLOAD EBOOK

We investigate the determinants of moment risk premia (MRP) and their relationship with stock returns. Stocks with high beta, idiosyncratic volatility and maxim