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Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228

Volatility Index

Qadan, Mahmoud; David, Or; Snunu, Iyad; Shuval, Kerem - In: Finance research letters 61 (2024), pp. 1-9

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The role of economic and financial uncertainties in predicting commodity futures returns and volatility : evidence from a nonparametric causality-in-quantiles test

Bahloul, Walid; Balcilar, Mehmet; Cuñado Eizaguirre, Juncal - In: Journal of multinational financial management 45 (2018), pp. 52-71

Persistent link: https://www.econbiz.de/10012055774

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

Persistent link: https://www.econbiz.de/10011904683

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - In: Journal of economic behavior & organization : JEBO 197 (2022), pp. 50-72

Persistent link: https://www.econbiz.de/10013383142

Instantaneous volatility of the yield curve, variance risk premium and bond return predictability

Yin, Ximing; Yang, Ge - In: Journal of empirical finance 77 (2024), pp. 1- 18

Persistent link: https://www.econbiz.de/10014578543

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10011987513

Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

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