The skewness risk premium in equilibrium and stock return predictability
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Publication:300694
DOI10.1007/S10436-016-0275-7zbMATH Open1398.91692OpenAlexW2290962734MaRDI QIDQ300694FDOQ300694
Publication date: 28 June 2016
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-016-0275-7
stochastic volatilityjump intensityEpstein-Zin preferenceslong-run risks modelskewness risk premiumstock return predictabilityvariance risk premiumvolatility of volatility
Cites Work
- Financial Modelling with Jump Processes
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Volatility in equilibrium: asymmetries and dynamic dependencies
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Volatility Spreads and Expected Stock Returns
Cited In (5)
- Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics
- Investor sentiment and trading behavior
- The impact of fat tails on equilibrium rates of return and term premia
- Risk-adjusted option-implied moments
- Risk perception and equity returns: evidence from the SPX and VIX
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