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Expected stock returns and variance risk premia

Bollerslev, Tim; Tauchen, George Eugene; Zhou, Hao - In: The review of financial studies 22 (2009) 11, pp. 4463-4492

Persistent link: https://www.econbiz.de/10003896321

Explaining credit default swap spreads with the equity volatility and jump risks of individual firms

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - In: The review of financial studies 22 (2009) 12, pp. 5099-5131

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Long-run risks, the macroeconomy, and asset prices

Bansal, Ravi; Kiku, Dana; Yaron, Amir - 2010

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Long-Run risks and financial markets

Bansal, Ravi - 2007

The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price...