Xiuping Mao

Zhongnan University of Economics and Law - School of Finance

WenQuan Building, 182# Nanhu Avenue

East Lake High-tech Development Zone

Wuhan, Hubei 430073

China

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Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium

CREATES Research Paper 2018-10
Posted: 05 Mar 2018 Last Revised: 09 Mar 2018
Isabel Casas, Xiuping Mao and Helena Veiga
University of Southern Denmark, Zhongnan University of Economics and Law - School of Finance and Universidad Carlos III de Madrid - Department of Statistics and Econometrics

Abstract:

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Net Measures, Nonparametric Methods, Predictability, Realized Variance, Variance Risk Premium, VIX