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Search: subject:"Volatility risk"
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Risikoprämie
9
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Della Corte, Pasquale
2
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ECONIS (ZBW)
9
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1
The cross-section of currency volatility premia
Della Corte, Pasquale
;
Kozhan, Roman
;
Neuberger, Anthony
- In:
Journal of financial economics
139
(
2021
)
3
,
pp. 950-970
Persistent link: https://www.econbiz.de/10012693854
Saved in:
2
Volatility and the cross-section of corporate bond returns
Chung, Kee H.
;
Wang, Junbo
;
Wu, Chunchi
- In:
Journal of financial economics
133
(
2019
)
2
,
pp. 397-417
Persistent link: https://www.econbiz.de/10012165603
Saved in:
3
Stocks with extreme past returns : lotteries or insurance?
Barinov, Alexander
- In:
Journal of financial economics
129
(
2018
)
3
,
pp. 458-478
Persistent link: https://www.econbiz.de/10011982283
Saved in:
4
Carry
Koijen, Ralph S. J.
;
Moskowitz, Tobias J.
;
Pedersen, …
- In:
Journal of financial economics
127
(
2018
)
2
,
pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
Saved in:
5
Uncertainty and leveraged Lucas Trees: the cross section of equilibrium
volatility
risk
premia
Vedolin, Andrea
-
London School of Economics (LSE)
-
2012
Volatility
risk
premia compensate agents for holding assets whose payoffs correlate with times of high return variation …. This paper takes a structural approach to explain the cross-section of
volatility
risk
premia of stocks using a Lucas …
volatility
risk
premia from option and stock prices and document that in the time-series,
volatility
risk
premia of individual …
Persistent link: https://www.econbiz.de/10010745732
Saved in:
6
The cross-sectional variation of
volatility
risk
premia
González-Urteaga, Ana
;
Rubio, Gonzalo
- In:
Journal of financial economics
119
(
2016
)
2
,
pp. 353-370
Persistent link: https://www.econbiz.de/10011589865
Saved in:
7
Analyzing
volatility
risk
and risk premium in option contracts : a new theory
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial economics
120
(
2016
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
Saved in:
8
Volatility
risk
premia and exchange rate predictability
Della Corte, Pasquale
;
Ramadorai, Tarun
;
Sarno, Lucio
- In:
Journal of financial economics
120
(
2016
)
1
,
pp. 21-40
Persistent link: https://www.econbiz.de/10011590062
Saved in:
9
Macroeconomic determinants of stock market returns, volatility and
volatility
risk
-premia
Corradi, Valentina
;
Distaso, Walter
;
Mele, Antonio
-
London School of Economics (LSE)
-
2008
volatility
risk
-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We nd that
volatility
risk
-premia are strongly countercyclical, even more so than standard measures of …
Persistent link: https://www.econbiz.de/10011071298
Saved in:
10
Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim
;
Osterrieder, Daniela
;
Sizova, Natalia
; …
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
Saved in:
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