The skewness risk premium in equilibrium and stock return predictability

DOI10.1007/S10436-016-0275-7zbMath1398.91692OpenAlexW2290962734MaRDI QIDQ300694

Hiroshi Sasaki

Publication date: 28 June 2016

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0275-7

zbMATH Keywords

stochastic volatilityjump intensityEpstein-Zin preferenceslong-run risks modelskewness risk premiumstock return predictabilityvariance risk premiumvolatility of volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Risk-adjusted option-implied moments ⋮ Investor sentiment and trading behavior

Cites Work

• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
• Volatility Spreads and Expected Stock Returns
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Financial Modelling with Jump Processes
• Do option markets correctly price the probabilities of movement of the underlying asset?

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