A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX

DOI10.1016/J.ECONLET.2019.108755zbMATH Open1429.91311OpenAlexW2980357996MaRDI QIDQ2292748FDOQ2292748

Authors: Jaeho Yun 

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108755

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zbMATH Keywords

GMMVIXvariance risk premiumexpected return variationsreturn and cash flow predictability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• An Intertemporal Capital Asset Pricing Model
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• The VIX, the variance premium and stock market volatility
• Stock return and cash flow predictability: the role of volatility risk

Cited In (3)

• Modeling financial return dynamics via decomposition
• Stock return and cash flow predictability: the role of volatility risk
• Risk perception and equity returns: evidence from the SPX and VIX

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