Variance Risk Premium Components and International Stock Return Predictability

75 Pages Posted: 22 Oct 2019 Last revised: 29 Apr 2020

See all articles by Juan M. Londono

Juan M. Londono

Board of Governors of the Federal Reserve System

Nancy R. Xu

Boston College, Carroll School of Management

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

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

Juan-Miguel Londono-Yarce (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Nancy R. Xu

Boston College, Carroll School of Management ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

HOME PAGE: http://www.nancyxu.net

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