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~person:"Bollerslev, Tim"
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Risikoprämie
34
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Bollerslev, Tim
Zhou, Hao
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ECONIS (ZBW)
34
RePEc
11
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1
Granular Betas and
Risk
Premium
Functions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
-
2022
show how the resulting granular beta functions may be used in the estimation of new "
risk
premium
functions." Implementing …
Persistent link: https://www.econbiz.de/10014236462
Saved in:
2
Jumps, Leverage and Risk Premiums
Bollerslev, Tim
-
2022
leverage effect commands a sizeable
risk
premium
…
Persistent link: https://www.econbiz.de/10013405700
Saved in:
3
The jump leverage
risk
premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
4
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
-
2014
Persistent link: https://www.econbiz.de/10010442441
Saved in:
5
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
Saved in:
6
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
Saved in:
7
Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim
-
2012
Recent empirical evidence suggests that the variance
risk
premium
predicts aggregate stock market returns. We ….K. result in quite similar patterns. Defining a “global” variance
risk
premium
, we uncover even stronger predictability and …
Persistent link: https://www.econbiz.de/10013115149
Saved in:
8
Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim
-
2012
Recent empirical evidence suggests that the variance
risk
premium
predicts aggregate stock market returns. We ….K. result in quite similar patterns. Defining a “global” variance
risk
premium
, we uncover even stronger predictability and …
Persistent link: https://www.econbiz.de/10013109053
Saved in:
9
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2011
Persistent link: https://www.econbiz.de/10009559410
Saved in:
10
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
-
2011
Persistent link: https://www.econbiz.de/10009406434
Saved in:
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