The skewness risk premium in equilibrium and stock return predictability
Hiroshi Sasaki
| Year of publication: |
February 2016
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|---|---|
| Authors: | Sasaki, Hiroshi |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 12.2016, 1, p. 95-133
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| Subject: | Long-run risks model | Epstein-Zin preferences | Variance risk premium | Skewness risk premium | Stock return predictability | Stochastic volatility | Volatility of volatility | Jump intensity | Risikoprämie | Risk premium | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory | Börsenkurs | Share price | Schätzung | Estimation | CAPM | Risiko | Risk | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-016-0275-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011555439