Conditional equity risk premia and realized variance jump risk
Year of publication: |
2015
|
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Authors: | Wang, Zhanglong ; Wang, Kent ; Pan, Zheyao |
Published in: |
Australian journal of management. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0312-8962, ZDB-ID 609380-2. - Vol. 40.2015, 2, p. 295-317
|
Subject: | Conditional equity premia | HAR-J model | realized variance jump | stock return prediction | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Varianzanalyse | Analysis of variance | Börsenkurs | Share price | CAPM | Theorie | Theory |
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