Showing 1 - 10 of 127
Persistent link: https://www.econbiz.de/10000627885
Persistent link: https://www.econbiz.de/10009744702
Persistent link: https://www.econbiz.de/10010382050
Persistent link: https://www.econbiz.de/10010506065
Persistent link: https://www.econbiz.de/10001475039
Persistent link: https://www.econbiz.de/10001213778
Persistent link: https://www.econbiz.de/10000928776
tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …
Persistent link: https://www.econbiz.de/10013082768
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10013054678
Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the variance premium and the credit spread while controlling for the conditional variance, expectations about the macroeconomic...
Persistent link: https://www.econbiz.de/10013020862