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Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …
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-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility …We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables … dynamics among asset-specific cash flows, macroeconomic fundamentals and risk aversion feature heteroskedasticity and non …
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credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Our model-implied risk premiums … both risk aversion and economic uncertainty. The joint dynamics among cash flows, macroeconomic fundamentals and risk … aversion accommodate both heteroskedasticity and non-Gaussianity. The model delivers measures of risk aversion and uncertainty …
Persistent link: https://www.econbiz.de/10012853481
-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility …We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables … dynamics among asset-specific cash flows, macroeconomic fundamentals and risk aversion feature heteroskedasticity and non …
Persistent link: https://www.econbiz.de/10012479625
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