Dynamics of variance risk premia : a new model for disentangling the price of risk
Jeroen V.K. Rombouts, Lars Stentoft, Francesco Violante
| Year of publication: |
2020
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|---|---|
| Authors: | Rombouts, Jeroen V. K. ; Stentoft, Lars ; Violante, Francesco |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 312-334
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| Subject: | Return predictability | Sentiment indicators | Variance risk premium | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Schätzung | Estimation | Großbritannien | United Kingdom | CAPM | Volatilität | Volatility | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.12.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482765