Variance Risk Premium Components and International Stock Return Predictability
75 Pages Posted: 22 Oct 2019 Last revised: 29 Apr 2020
Date Written: 2019-07-19
Abstract
No abstract available.
Keywords: Variance risk premium, downside variance risk premium, international stock markets, asymmetric state variables, stock return predictability
JEL Classification: F36, G12, G13, G15
Suggested Citation: Suggested Citation
Londono-Yarce, Juan-Miguel and Xu, Nancy R., Variance Risk Premium Components and International Stock Return Predictability (2019-07-19). FRB International Finance Discussion Paper No. 1247, Available at SSRN: https://ssrn.com/abstract=3473060 or http://dx.doi.org/10.17016/IFDP.2019.1247
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