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Predicting returns on asset markets of a small, open economy and the influence of global risks

Haab, David R.; Nitschka, Thomas - 2017

Persistent link: https://www.econbiz.de/10011794321

Can economic uncertainty, financial stress and consumer sentiments predict US equity premium?

Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - In: Journal of international financial markets, … 33 (2014), pp. 367-378

Persistent link: https://www.econbiz.de/10011299816

House prices, expectations, and time-varying fundamentals

Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25

Persistent link: https://www.econbiz.de/10011300508

Conditional equity risk premia and realized variance jump risk

Wang, Zhanglong; Wang, Kent; Pan, Zheyao - In: Australian journal of management 40 (2015) 2, pp. 295-317

Persistent link: https://www.econbiz.de/10011342801

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341