Stock Return and Cash Flow Predictability: The Role of Volatility Risk
Copyright policy )Stock Return and Cash Flow Predictability: The Role of Volatility Risk
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- Aarhus University Denmark
- National Bureau of Economic Research United States
- Tsinghua University China (People's Republic of)
- Duke University United States
Economic time series analysis, ``structural'' factor GARCH, 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, variance risk premium, stochastic volatility and uncertainty, Applications of statistics to economics, equilibrium pricing, Statistical methods; risk measures, return and dividend growth predictability
Economic time series analysis, ``structural'' factor GARCH, 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, variance risk premium, stochastic volatility and uncertainty, Applications of statistics to economics, equilibrium pricing, Statistical methods; risk measures, return and dividend growth predictability
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