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Stock returns and volatility: pricing the long-run and short-run components of market risk

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Listed:
  • Tobias Adrian
  • Joshua V. Rosenberg

Abstract

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Suggested Citation

  • Tobias Adrian & Joshua V. Rosenberg, 2005. "Stock returns and volatility: pricing the long-run and short-run components of market risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgpr:y:2005:x:33
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    File URL: http://www.federalreserve.gov/events/conferences/rs20050721/program.htm
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    Cited by:

    1. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
    2. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.

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    Keywords

    Stock market; Risk management;

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