Macroeconomic volatilities and long-run risks of asset prices
Guofu Zhou; Yingzi Zhu
| Year of publication: |
2015
|
|---|---|
| Authors: | Zhou, Guofu ; Zhu, Yingzi |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 61.2015, 2, p. 413-430
|
| Subject: | long-run risks | stochastic volatility | predictability | variance risk premium | VIX term structure | Volatilität | Volatility | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | CAPM | Zinsstruktur | Yield curve | Risiko | Risk | Börsenkurs | Share price | Theorie | Theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010490848