Macroeconomic determinants of stock market returns, volatility and volatility risk-premia
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- Valentina Corradi & Antonio Mele & Walter Distaso, 2008. "Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia," FMG Discussion Papers dp616, Financial Markets Group.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
More about this item
KeywordsRealized volatility; Volatility risk-premium; Macroeconomic factors; No arbitrage restrictions; Concentrated simulated general method of moments; Block-bootstrap.;
- J1 - Labor and Demographic Economics - - Demographic Economics
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