Dynamics of variance risk premia: a new model for disentangling the price of risk

DOI10.1016/j.jeconom.2019.12.006zbMath1456.62256WikidataQ126425564 ScholiaQ126425564MaRDI QIDQ2190227

Jeroen V. K. Rombouts, Lars Stentoft, Francesco Violante

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.12.006

zbMATH Keywords

variance risk premium; return predictability; sentiment indicators

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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Cites Work

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