Variance Premium, Downside Risk and Expected Stock Returns
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- Roh, Tai-Yong & Byun, Suk Joon & Xu, Yahua, 2020. "Downside uncertainty shocks in the oil and gold markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 291-307.
- Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
- Dolinar Denis & Zoričić Davor & Golubić Zrinka Lovretin, 2019. "Application of semi-deviation as a proxy for the expected return estimation in the Croatian equity market," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 5(1), pages 9-20, May.
- Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020.
"Variance swap payoffs, risk premia and extreme market conditions,"
Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
- Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers 2017-21, Department of Economics and Business Economics, Aarhus University.
- Wu, Lingke & Liu, Dehong & Yuan, Jianglei & Huang, Zhenhuan, 2022. "Implied volatility information of Chinese SSE 50 ETF options," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 609-624.
- Hollstein, Fabian & Wese Simen, Chardin, 2020. "Variance risk: A bird’s eye view," Journal of Econometrics, Elsevier, vol. 215(2), pages 517-535.
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More about this item
Keywords
Asset Pricing; Financial markets;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2018-01-08 (Financial Markets)
- NEP-RMG-2018-01-08 (Risk Management)
- NEP-UPT-2018-01-08 (Utility Models and Prospect Theory)
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