The skewness risk premium in equilibrium and stock return predictability
Year of publication: |
February 2016
|
---|---|
Authors: | Sasaki, Hiroshi |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 12.2016, 1, p. 95-133
|
Subject: | Long-run risks model | Epstein-Zin preferences | Variance risk premium | Skewness risk premium | Stock return predictability | Stochastic volatility | Volatility of volatility | Jump intensity | Risikoprämie | Risk premium | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Risiko | Risk | Schätzung | Estimation | Theorie | Theory | CAPM | Börsenkurs | Share price |
-
Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu, (2015)
-
The VIX, the variance premium and stock market volatility
Bekaert, Geert, (2014)
-
Predictability of time-varying jump premiums : evidence based on calibration
Wang, Kent, (2014)
- More ...
-
Sasaki, Hiroshi, (2009)
-
Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi, (2015)
-
An approach to the option market model based on end-user net demand
Sasaki, Hiroshi, (2015)
- More ...