A comprehensive look at the return predictability of variance risk premia
Author:
Affiliation:
1. Graduate School of Finance, Korea Advanced Institute of Science and Technology; Business School; Hoegiro, Dongdaemoon-gu Seoul Korea
2. Department of Finance; Auckland University of Technology; Auckland New Zealand
Funder
National Research Foundation of Korea
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Reference37 articles.
1. Aloosh , A. 2012
2. Will my risk parity strategy outperform;Anderson;Financial Analysts Journal,2012
3. A long-run risks explanation of predictability puzzles in bond and currency markets;Bansal;Review of Financial Studies,2012
4. Risks for the long run: A potential resolution of asset pricing puzzles;Bansal;Journal of Finance,2004
5. Beyond the carry trade: Optimal currency portfolios;Barroso;Journal of Financial and Quantitative Analysis,2015
Cited by 17 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The link between abnormal numbers and price movements of financial securities: How does Benford’s law predict stock returns?;International Review of Financial Analysis;2024-10
2. A New Index of Option Implied Absolute Deviation;Journal of Futures Markets;2024-07-04
3. International crash risk premium;Journal of International Financial Markets, Institutions and Money;2024-07
4. Cryptocurrency Momentum and VIX premium;Finance Research Letters;2023-11
5. The volatility of daily tug-of-war intensity and stock market returns;Finance Research Letters;2023-07
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3