The Variance Risk Premium and Fundamental Uncertainty
Year of publication: |
2015-02-27
|
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Authors: | Conrad, Christian ; Loch, Karin |
Institutions: | Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften |
Subject: | Variance risk premium | return predictability | VIX | GARCH-MIDAS | economic uncertainty | vol-of-vol |
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