The skewness risk premium in equilibrium and stock return predictability (Q300694)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The skewness risk premium in equilibrium and stock return predictability |
scientific article |
Statements
The skewness risk premium in equilibrium and stock return predictability (English)
0 references
28 June 2016
0 references
long-run risks model
0 references
Epstein-Zin preferences
0 references
variance risk premium
0 references
skewness risk premium
0 references
stock return predictability
0 references
stochastic volatility
0 references
volatility of volatility
0 references
jump intensity
0 references
0 references
