Macroeconomic Volatility and Stock Market Volatility, Worldwide
In: NBER Working Paper No. w14269
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In: NBER Working Paper No. w14269
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In: Wiley trading series
In: CORE discussion paper 9569
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Working paper
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Working paper
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In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 21, Heft 4, S. 431-446
ISSN: 1475-6803
AbstractIn this paper I relate the risk premia in the stock and bond markets to the conditional volatility of returns and time‐varying reward‐to‐volatility variables. I find that the relation between the expected returns on the stocks and bonds and the volatility of returns is time varying. I provide an approach for evaluating the relative importance of the time‐varying volatility of returns and reward‐to‐volatility variables to explain the predictability of risk premia for stock and bond returns. I show that changing reward‐to‐volatility variables explain more predictable variation in the risk premia for stocks and bonds than changing volatility of returns.
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Working paper
In: International journal of forecasting, Band 24, Heft 3, S. 462-479
ISSN: 0169-2070
In: Understanding Political Change, S. 10-31
In: Forthcoming in The Journal of Derivatives
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In: Journal of Monetary Economics, Band 60, Heft 2, S. 203-220