Tail risk premia and return predictability
Tim Bollerslev, Viktor Todorov, Lai Xu
| Year of publication: |
October 2015
|
|---|---|
| Authors: | Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 118.2015, 1, p. 113-134
|
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2015.02.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011480379