A Long-run Risks Model with Long- and Short-run Volatilities: Explaining Predictability and Volatility Risk Premium
نویسندگان
چکیده
We are grateful to Doron Avramov, Ravi Bansal, Jason Beeler, Geert Bekaert, Tim Bollerslev, Long Chen, Peter Christoffersen, Bjørn Eraker, Satadru Hore, Hong Liu, Zhongjin Lu, Ivan Shaliastovich, Jack Strauss, George Tauchen, Hao Zhou, and seminar participants at East China University of Science and Technology, National University of Singapore, Tsinghua University, and CKGSB 2009 summer workshop. We thank Jiabin Gong and Jian Zhai for research assistance.
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تاریخ انتشار 2010