Wang, Zhanglong; Wang, Kent; Pan, Zheyao - In: Australian Journal of Management 40 (2015) 2, pp. 295-317
This study explores the relationship between realized variance jump risk and conditional equity risk premium. Using … variance jump risk measure significantly relates to excess stock market returns in-sample and out-of-sample from 1998 to 2010 …. Further, the predictive power of the variance jump remains both statistically and economically significant after controlling …