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U.S. Board of Governors of the Federal Reserve System - Division of Research and Statistics, Capital Markets
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Fed Model, Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Money illusion, Equity premium, Countercyclical risk aversion, Fed model, Inflation, Economic Uncertainty Dividend yield, Stock-Bond Correlation, Bond Yield
Equity premium, variance premium, Countercyclical risk aversion, Economic Uncertainty, Dividend yield, Return predictability
Equity Premium, Variance Premium, Countercyclical Risk Aversion, Economic Uncertainty, Dividend Yield, Return Predictability
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8150.
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countercyclical risk aversion, dividend yield, economic uncertainty, equity premium, return predictability, variance premium
Empirical asset pricing, equity risk premium, habit persistence, stock-bond correlation, macroeconomic factors
File name: SSRN-id578122.
Equity premium, excess volatility, stock-bond return correlation, return predictability, countercyclical risk aversion, habit persistence
stock return, predictability, dividend yield, dividend price ratio
Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity
File name: SSRN-id954707.
Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure
GARCH, non-Gaussian, risk management, asymmetric volatility, heteroskedasticity, skewness, kurtosis, stock returns
macroeconomic volatility, bond markets, bond return predictability, term premium, macro risks, Great Moderation
Bond return predictability, Business cycle, Great moderation, Macroeconomic volatility, Term premium
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
VIX, equity premium, habit, risk aversion, skewness
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