Lai Xu

Duke University

100 Fuqua Drive

Durham, NC 27708-0204

United States

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Scholarly Papers (1)

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

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 08 Aug 2012
Duke University - Finance, University of Chicago, Duke University and Tsinghua University - PBC School of Finance
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Citation 48

Abstract:

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