The VIX, the variance premium, and expected returns
Daniela Osterrieder, Daniel Ventosa-Santaulària and J. Eduardo Vera-Valdés
| Year of publication: |
2019
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|---|---|
| Authors: | Osterrieder, Daniela ; Ventosa-Santaulària, Daniel ; Vera-Valdés, J. Eduardo |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 4, p. 517-558
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| Subject: | fractional integration | implied variance | integrated variance | persistent predictor | re-turn prediction | risk–return trade-off | variance premium | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012149836