A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX

DOI10.1016/J.ECONLET.2019.108755zbMath1429.91311OpenAlexW2980357996MaRDI QIDQ2292748

Jaeho Yun

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108755

zbMATH Keywords

GMMVIXvariance risk premiumexpected return variationsreturn and cash flow predictability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• The VIX, the variance premium and stock market volatility
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Stock return and cash flow predictability: the role of volatility risk
• An Intertemporal Capital Asset Pricing Model

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