Lai Xu

Independent

No Address Available

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 04 Mar 2011 Last Revised: 08 Aug 2012
Duke University - Finance, University of Chicago, Independent and Tsinghua University - PBC School of Finance
Downloads 970 (16,621)
Citation 11

Abstract:

Variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

2.

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Number of pages: 60 Posted: 18 Nov 2012 Last Revised: 20 Nov 2012
Tim Bollerslev, Lai Xu and Hao Zhou
Duke University - Finance, Independent and Tsinghua University - PBC School of Finance
Downloads 559 (34,131)

Abstract:

Return and dividend growth predictability, variance risk premium, expected variation, long-run risk, equilibrium pricing, stochastic volatility and uncertainty, reduced form VAR, structural factor GARCH