The sum of all fears: Forecasting international returns using option-implied risk measures
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DOI: 10.1016/j.jbankfin.2022.106701
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Keywords
Options; Risk-neutral distribution; Variance risk premium; Return predictability; Predictive regressions; Out-of-sample; International; Equity markets; Foster-Hart; Generalized riskiness; Higher-order moments; Skewness;All these keywords.
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