Does variance risk premium predict expected returns?
Xian-Ji Kuang, Yueh-Hua Hsu, Alan Chang and Shih-Kuei Lin
| Year of publication: |
2024
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|---|---|
| Authors: | Kuang, Xian-Ji ; Hsu, Yueh-Hua ; Chang, Alan ; Lin, Shih-kuei |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 31.2024, 13, p. 1227-1233
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| Subject: | cross-section regression | high-frequency data | return predictability | state dependence | Variance risk premium | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Regressionsanalyse | Regression analysis | Varianzanalyse | Analysis of variance | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2023.2178620 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014558807