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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - 2011
Persistent link: https://www.econbiz.de/10009406434
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Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
existing evidence of the U.S., we show that country specific regressions for France, Germany, Japan, Switzerland and the U …
Persistent link: https://www.econbiz.de/10013109053
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International Stock Return Differentials and Real Exchange Rate Changes
Malliaropulos, Dimitris - 2022
This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...
Persistent link: https://www.econbiz.de/10013491880
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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market
Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13
estimates of the bivariate risk premia show bi-directional causality exist between the Australia and France Bond markets …. Overall results suggest nonexistence of pure rational expectation theory in the risk premium model. This information is useful …
Persistent link: https://www.econbiz.de/10012422545
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Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi; Lundblad, Christian - In: Journal of econometrics 109 (2002) 2, pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
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The Forward Premium Puzzle and Latent Factors Day by Day
Bernoth, Kerstin - 2011
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...
Persistent link: https://www.econbiz.de/10013119324
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On the Risk Return Relationship
Wang, Jian-Xin - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …
Persistent link: https://www.econbiz.de/10013107127
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On the Risk Return Relationship
Yang, Minxian - 2012
While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …
Persistent link: https://www.econbiz.de/10013107156