Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia
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- Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2008. "Macroeconomic determinants of stock market returns, volatility and volatility risk-premia," LSE Research Online Documents on Economics 24436, London School of Economics and Political Science, LSE Library.
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Citations
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Cited by:
- Christian Conrad & Karin Loch, 2015.
"Anticipating Long‐Term Stock Market Volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
- Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers 0535, University of Heidelberg, Department of Economics.
- Arisoy, Yakup Eser, 2010.
"Volatility risk and the value premium: Evidence from the French stock market,"
Journal of Banking & Finance, Elsevier, vol. 34(5), pages 975-983, May.
- Y.E. Arisoy, 2010. "Volatility risk and the value premium : evidence from the french stock market," Post-Print hal-00576551, HAL.
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More about this item
JEL classification:
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- G00 - Financial Economics - - General - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2008-06-27 (Macroeconomics)
- NEP-UPT-2008-06-27 (Utility Models and Prospect Theory)
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