A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX
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DOI: 10.1016/j.econlet.2019.108755
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Cited by:
- Akhilesh Prasad & Priti Bakhshi, 2022. "Forecasting the Direction of Daily Changes in the India VIX Index Using Machine Learning," JRFM, MDPI, vol. 15(12), pages 1-26, November.
- Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
- Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
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More about this item
Keywords
Return and cash flow predictability; VIX; Expected return variations; Variance risk premium; GMM;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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