The skewness risk premium in equilibrium and stock return predictability (Q300694)
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scientific article; zbMATH DE number 6599190
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| English | The skewness risk premium in equilibrium and stock return predictability |
scientific article; zbMATH DE number 6599190 |
Statements
The skewness risk premium in equilibrium and stock return predictability (English)
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28 June 2016
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long-run risks model
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Epstein-Zin preferences
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variance risk premium
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skewness risk premium
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stock return predictability
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stochastic volatility
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volatility of volatility
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jump intensity
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0.8872019
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0.88207495
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0.8660419
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0.86158365
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0.85086256
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