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Premium for Heightened Uncertainty: Solving the FOMC Puzzle · Study

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PreprintPremium for Heightened Uncertainty: Solving the FOMC Puzzle

Grace Xing Hu2018

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Preprintgreen2018

Premium for Heightened Uncertainty: Solving the FOMC Puzzle

Grace Xing Hu · Jun Pan · Jiang Wang · Haoxiang Zhu

28 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1973An Intertemporal Capital Asset Pricing Model 1976Option pricing when underlying stock returns are discontinuous 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1987Expected stock returns and volatility 1997Empirical Performance of Alternative Option Pricing Models 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1992No news is good news 2009Expected Stock Returns and Variance Risk Premia

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Details

Year2018

Typepreprint

Published2018-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations28

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.3290649

openalex_workW2909899320

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