Does variance risk premium predict expected returns?

Xian-Ji Kuang, Yueh-Hua Hsu, Alan Chang and Shih-Kuei Lin

Year of publication:	2024
Authors:	Kuang, Xian-Ji ; Hsu, Yueh-Hua ; Chang, Alan ; Lin, Shih-kuei
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

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