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Search: subject:"“structural” factor GARCH"
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Return and dividend growth predictability
2
"Structural" factor GARCH
1
ARCH model
1
ARCH-Modell
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Börsenkurs
1
Capital income
1
Cash Flow
1
Cash flow
1
Dividend
1
Dividende
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Equilibrium pricing
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Forecasting model
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Kapitaleinkommen
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Prognoseverfahren
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Risiko
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Risikoprämie
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Risk
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Risk premium
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Share price
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Stochastic volatility and uncertainty
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Variance risk premium
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Volatility
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Volatilität
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equilibrium pricing
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expected variation
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long-run risk
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reduced form VAR
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stochastic volatility and uncertainty
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variance risk premium
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“structural” factor GARCH
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Bollerslev, Tim
2
Xu, Lai
2
Zhou, Hao
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School of Economics and Management, University of Aarhus
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Journal of econometrics
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Stock Return and Cash Flow Predictability: The Role of Volatility Risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
-
School of Economics and Management, University of Aarhus
-
2012
forecast dividend growth rates. Our equilibrium-based “
structural
”
factor
GARCH
model permits much more accurate inference than …
Persistent link: https://www.econbiz.de/10010851207
Saved in:
2
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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