Variance risk premiums in emerging markets-Reference-Cited by-同舟云学术

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Variance risk premiums in emerging markets

Published:2024-10 Issue: Volume:167 Page:107259
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Qiao Fang^ORCID,Xu Lai,Zhang Xiaoyan,Zhou Hao

Publisher

Elsevier BV

Reference50 articles.

1. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;Internat. Econom. Rev.,1998

2. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

3. The pricing of tail risk and the equity premium: Evidence from international option markets;Andersen;J. Bus. Econom. Statist.,2020

4. Tail risk and return predictability for the Japanese equity market;Andersen;J. Econometrics,2021

5. Measuring economic policy uncertainty;Baker;Q. J. Econ.,2016

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