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- Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
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More about this item
Keywords
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;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FDG-2012-12-06 (Financial Development and Growth)
- NEP-FMK-2012-12-06 (Financial Markets)
- NEP-FOR-2012-12-06 (Forecasting)
- NEP-ORE-2012-12-06 (Operations Research)
Statistics
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