Tail Risk Premia and Return Predictability
Year of publication: |
2014-09-29
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Authors: | Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Variance risk premium | time-varying jump tails | market sentiment and fears | return predictability |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 4 pages long |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
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Tail risk premia and return predictability
Bollerslev, Tim, (2015)
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Tail risk premia and return predictability
Bollerslev, Tim, (2014)
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Bollerslev, Tim, (2014)
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Stock Return and Cash Flow Predictability: The Role of Volatility Risk
Bollerslev, Tim, (2012)
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Bollerslev, Tim, (2009)
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Bollerslev, Tim, (2010)
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