Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships
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- Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020. "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 321-334.
- Zhanglong Wang & Kent Wang & Zheyao Pan, 2015. "Conditional equity risk premia and realized variance jump risk," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 295-317, May.
- Juan M. Londono & Nancy R. Xu, 2019. "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers 1247, Board of Governors of the Federal Reserve System (U.S.).
- Cedric Okou & Eric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
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More about this item
Keywords
predictability; realized variance; continuous volatility; jumps; long-run returns; persistent regressor;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2013-06-16 (Econometric Time Series)
- NEP-FOR-2013-06-16 (Forecasting)
- NEP-RMG-2013-06-16 (Risk Management)
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