Option-Implied Equity Premium Predictions via Entropic Tilting.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 4, p. 559, doi. 10.1093/jjfinec/nby009
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- Publication type:
- Article
Works matching IS 14798409 AND DT 2019 AND VI 17 AND IP 4
Results: 6
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Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 4, p. 687, doi. 10.1093/jjfinec/nbx025
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- Publication type:
- Article
3
Extreme Conditional Tail Moment Estimation under Serial Dependence.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 4, p. 587, doi. 10.1093/jjfinec/nby016
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- Article
4
Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 4, p. 645, doi. 10.1093/jjfinec/nby015
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- Publication type:
- Article
5
The VIX, the Variance Premium, and Expected Returns.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 4, p. 517, doi. 10.1093/jjfinec/nby008
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- Publication type:
- Article
6
A Quantile Regression Approach to Estimate the Variance of Financial Returns.
- Published in:
- Journal of Financial Econometrics, 2019, v. 17, n. 4, p. 616, doi. 10.1093/jjfinec/nby026
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- Publication type:
- Article