Time-varying variance risk premium and the predictability of Chinese stock market return
Year of publication: |
2017
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Authors: | Chen, Jian ; He, Chen ; Zhang, Jing |
Published in: |
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets. - Philadelphia, Pa. : Routledge Taylor & Francis Group, ISSN 1540-496X, ZDB-ID 2089472-7. - Vol. 53.2017, 7/8/9, p. 1734-1748
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Subject: | Chinese stock market | general equilibrium model | out-of-sample predictability | recursive utility | variance risk premium | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | China | Aktienmarkt | Stock market | Börsenkurs | Share price | Kapitaleinkommen | Capital income | CAPM |
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