Tail risk premia and return predictability

Tim Bollerslev, Viktor Todorov, and Lai Xu

Year of publication:	2014
Authors:	Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai
Publisher:	Aarhus : School of Economics and Management
Subject:	Variance risk premium \| Time-varying jump tails \| Market sentiment and fears \| Return predictability \| Kapitaleinkommen \| Capital income \| Risikoprämie \| Risk premium \| Prognoseverfahren \| Forecasting model \| Schätzung \| Estimation \| Volatilität \| Volatility \| Börsenkurs \| Share price \| Kapitalmarktrendite \| Capital market returns \| Portfolio-Management \| Portfolio selection \| Statistische Verteilung \| Statistical distribution

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