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.
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.
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"Volatility risk and the value premium: Evidence from the French stock market,"
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- 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
- J1 - Labor and Demographic Economics - - Demographic Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-27 (All new papers)
- NEP-MAC-2008-06-27 (Macroeconomics)
- NEP-UPT-2008-06-27 (Utility Models & Prospect Theory)
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