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~isPartOf:"CREATES Research Papers"
~person:"Bollerslev, Tim"
~person:"Bouri, Elie"
~person:"Pierdzioch, Christian"
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return predictability
3
variance risk premium
3
Return Predictability
2
realized volatility
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Black-Scholes
1
Equilibrium asset pricing
1
Equity Risk Premium
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GMM Estimation
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Return and dividend growth predictability
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Stochastic Volatility Risk Premium
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Time-Varying Risk Aversion
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equilibrium asset pricing
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equilibrium pricing
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expected variation
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fractional cointegration
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fractional integration
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long-memory
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long-run risk
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market sentiment and fears
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option implied volatility
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options implied volatility
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Bollerslev, Tim
Bouri, Elie
Pierdzioch, Christian
Engsted, Tom
7
Pedersen, Thomas Q.
5
Møller, Stig V.
3
Zhou, Hao
3
Tauchen, George
2
Todorov, Viktor
2
Xu, Lai
2
Andersen, Torben G.
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School of Economics and Management, University of Aarhus
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CREATES Research Papers
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RePEc
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1
Tail Risk Premia and Return
Predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
-
School of Economics and Management, University of Aarhus
-
2014
show that much of this
predictability
may be attributed to time variation in the shape of the tails and compensation …
Persistent link: https://www.econbiz.de/10011096183
Saved in:
2
Stock Return and Cash Flow
Predictability
: The Role of Volatility Risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
-
School of Economics and Management, University of Aarhus
-
2012
We examine the joint
predictability
of return and cash flow within a present value framework, by imposing the …
Persistent link: https://www.econbiz.de/10010851207
Saved in:
3
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return
Predictability
Bollerslev, Tim
;
Osterrieder, Daniela
;
Sizova, Natalia
; …
-
School of Economics and Management, University of Aarhus
-
2011
data within the fractionally cointegrated system results in non-trivial return
predictability
over longer interdaily and …
Persistent link: https://www.econbiz.de/10009399368
Saved in:
4
Expected Stock Returns and Variance Risk Premia
Bollerslev, Tim
;
Hao, Tzuo
;
Tauchen, George
-
School of Economics and Management, University of Aarhus
-
2008
from high-frequency intraday, as opposed to daily, data. The magnitude of the
predictability
is particularly strong at the …
Persistent link: https://www.econbiz.de/10005114114
Saved in:
5
Expected Stock Returns and Variance Risk Premia
Bollerslev, Tim
;
Zhou, Hao
-
School of Economics and Management, University of Aarhus
-
2007
predictability
of the variance risk premium easily dominates that afforded by standard predictor variables like the P/E ratio, the …
Persistent link: https://www.econbiz.de/10005787556
Saved in:
6
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
Bollerslev, Tim
;
Gibson, Michael
;
Zhou, Hao
-
School of Economics and Management, University of Aarhus
-
2007
This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...
Persistent link: https://www.econbiz.de/10005114112
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