Risk and return : long-run relations, fractional cointegration, and return predictability
Tim Bollerslev; Daniela Osterrieder; Natalia Sizova; George Tauchen
| Year of publication: |
2013
|
|---|---|
| Authors: | Bollerslev, Tim ; Osterrieder, Daniela ; Sizova, Natalia ; Tauchen, George Eugene |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 108.2013, 2, p. 409-424
|
| Subject: | High-frequency data | Realized and options implied volatilities | Volatility risk premium | Long-memory and fractional cointegration | Return predictability | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Risikoprämie | Risk premium | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns | Japan |
| 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/10009749332