Tail risk premia and return predictability-Reference-Cited by-同舟云学术

Tail risk premia and return predictability

Published:2015-10 Issue:1 Volume:118 Page:113-134
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Bollerslev Tim,Todorov Viktor,Xu Lai

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference70 articles.

1. Almeida, C., Vicente, J., Guillen, O., 2013. Nonparametric tail risk and stock returns: predictability and risk premia. Unpublished working paper. Getulio Vargas Foundation, Rio de Janeiro.

2. Financial risk measurement for financial risk management;Andersen,2013

3. The risk premia embedded in index options;Andersen;Journal of Financial Economics,2015

4. Andreou, E., Ghysels, E., 2013. What drives the vix and the volatility risk premium? Unpublished working paper. University of Cyprus and University of North Carolina Chapel Hill.

5. Stock return predictability: Is it there?;Ang;Review of Financial Studies,2007

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