Stock return and cash flow predictability : the role of volatility risk
Tim Bollerslev, Lai Xu, Hao Zhou
| Year of publication: |
August 2015
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|---|---|
| Authors: | Bollerslev, Tim ; Xu, Lai ; Zhou, Hao |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 458-471
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| Subject: | Return and dividend growth predictability | Variance risk premium | Equilibrium pricing | Stochastic volatility and uncertainty | "Structural" factor GARCH | Volatilität | Volatility | Dividende | Dividend | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Risiko | Risk | ARCH-Modell | ARCH model | Cash Flow | Cash flow |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.031 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499728