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

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Author Info
Joshua Rosenberg
Tobias Adrian
Abstract

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Publisher Info
Article provided by Board of Governors of the Federal Reserve System (U.S.) in its journal Proceedings.

Volume (Year): (2005)
Issue (Month): ()
Pages:
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Handle: RePEc:fip:fedgpr:y:2005:x:34

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Related research
Keywords: Stock market ; Risk management;

Cited by:
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  1. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York. [Downloadable!]
  2. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group. [Downloadable!]
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This page was last updated on 2009-12-12.

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