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Forecasting equity premium : global historical average versus local historical average and constraints
Lee, Tae-hwy; Tu, Yundong; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 393-402
Persistent link: https://www.econbiz.de/10011390401
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What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Fan, Jianqing; Imerman, Michael B.; Dai, Wei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 519-535
Persistent link: https://www.econbiz.de/10011692397
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Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195
Persistent link: https://www.econbiz.de/10011894575
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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The shape of the risk premium : evidence from a semiparametric generalized autoregressive conditional heteroscedasticity model
Linton, Oliver; Perron, Benoit - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 354-367
Persistent link: https://www.econbiz.de/10001785807
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The structural break in the equity premium
Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 2, pp. 181-191
Persistent link: https://www.econbiz.de/10002781656
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Macroeconomic volatility, predictability, and uncertainty in the great moderation : evidence from the survey of professional forecasters
Campbell, Sean D. - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 191-200
Persistent link: https://www.econbiz.de/10003463635
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On the role of risk premia in volatility forecasting
Chernov, Mikhail - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 411-426
Persistent link: https://www.econbiz.de/10003566051
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Mimicking portfolios, economic risk premia, and tests of multi-beta models
Balduzzi, Pierluigi; Robotti, Cesare - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 3, pp. 354-368
Persistent link: https://www.econbiz.de/10003754195
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Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.; Kyriakopoulou, Dimitra - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 589-603
Persistent link: https://www.econbiz.de/10012499104