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Expected Stock Returns and Variance Risk Premia · Study

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PreprintExpected Stock Returns and Variance Risk Premia

Tim Bollerslev2009

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Preprintgreen2009

Expected Stock Returns and Variance Risk Premia

Tim Bollerslev · Hao Zhou

98 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

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2006The Cross‐Section of Volatility and Expected Returns 1989Business conditions and expected returns on stocks and bonds 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Permanent and Temporary Components of Stock Prices 1980On estimating the expected return on the market 1977Asset returns and inflation 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Cited by

2019The Time Variation in Risk Appetite and Uncertainty 2007Long-run risk-return trade-offs 2010Predictability of Returns and Cash Flows 2007Construction and Interpretation of Model-Free Implied Volatility 2008Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns 2009Asset Return Dynamics under Bad Environment Good Environment Fundamentals

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations98

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1315328

openalex_workW4294553740

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2008Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance

2007Construction and Interpretation of Model-Free Implied Volatility