Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Year of publication: |
2014
|
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Authors: | Kim, Yunmi ; Nelson, Charles R. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 2, p. 307-328
|
Subject: | business cycles | expected returns | long-run risk (LRR) asset pricing model | market volatility | Markov-switching | risk-return trade-off | Volatilität | Volatility | Konjunktur | Business cycle | CAPM | Kapitaleinkommen | Capital income | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | Risikoprämie | Risk premium | Aktienmarkt | Stock market | Risiko | Risk |
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