On the role of risk premia in volatility forecasting
Year of publication: |
2007
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Authors: | Chernov, Mikhail |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 25.2007, 4, p. 411-426
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Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Aktienmarkt | Stock market | Devisenmarkt | Foreign exchange market | Theorie | Theory | USA | United States |
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