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Equity volatility as a determinant of future term-structure volatility
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: Journal of financial markets 25 (2015), pp. 33-51
Persistent link: https://www.econbiz.de/10011477263
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Predicting the equity premium with a high-threshold risk level and the price of risk
Bansal, Naresh K.; Stivers, Christopher T. - 2025
Persistent link: https://www.econbiz.de/10015396001
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Bond risk's role in the equity risk-return tradeoff
Bansal, Naresh K.; Stivers, Christopher T. - In: Journal of financial markets 60 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013397895
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The Importance of T-bond Risk in Uncovering a Positive Linear VIX Risk-Return Relation
Bansal, Naresh - 2020
Adrian, Crump, and Vogt (2019) find that a nonlinear specification is required to identify a reliable relation between VIX and the equity premium. We reexamine this risk-return issue in a multi-risk framework with VIX and T-bond risk (MOVE). We find that: (1) the `MOVE-equity premium' relation...
Persistent link: https://www.econbiz.de/10012826465