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Stock return predictability and variance risk premia: statistical inference and international evidence. (2011). Zhou, Hao ; Marrone, James ; Bollerslev, Tim ; Xu, Lai .
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:2011-52.

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Cited: 31

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Cites: 38

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  1. Economic Uncertainty and Bank Lending. (2021). Suardi, Sandy ; Wu, Weishao.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:53:y:2021:i:8:p:2037-2069.

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  2. Ambiguity Aversion and the Variance Premium. (2019). Miao, Jianjun ; Zhou, Hao ; Wei, Bin .
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:09:y:2019:i:02:n:s2010139219500034.

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  3. Ambiguity Aversion and Variance Premium. (2018). zhao, hao ; Wei, Bin ; Miao, Jianjun ; Zhou, Hao.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2018-14.

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  4. Volatility risk premia and future commodities returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato.
    In: BIS Working Papers.
    RePEc:bis:biswps:619.

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  5. Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies. (2016). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
    In: ADBI Working Papers.
    RePEc:ris:adbiwp:0590.

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  6. Particularitǎţi ale evoluţiei variabilelor financiare. (2016). Stefanescu, Razvan ; Dumitriu, Ramona.
    In: MPRA Paper.
    RePEc:pra:mprapa:73481.

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  7. Predictability Hidden by Anomalous Observations. (2016). Trojani, Fabio ; Scaillet, Olivier ; Camponovo, Lorenzo.
    In: Papers.
    RePEc:arx:papers:1612.05072.

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  8. Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134.

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  9. An analytical review of volatility metrics for bubbles and crashes. (2015). Vogel, Harold L. ; Werner, Richard A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:38:y:2015:i:c:p:15-28.

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  10. A non-linear dynamic model of the variance risk premium. (2015). Eraker, Bjorn ; Wang, Jiakou .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:547-556.

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  11. The variance risk premium and fundamental uncertainty. (2015). Conrad, Christian ; Loch, Karin .
    In: Economics Letters.
    RePEc:eee:ecolet:v:132:y:2015:i:c:p:56-60.

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  12. A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0576.

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  13. The Variance Risk Premium and Fundamental Uncertainty. (2015). Conrad, Christian ; Loch, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0583.

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  14. Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk. (2015). Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris ; Fournier, Mathieu .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-54.

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  15. Market variance risk premiums in Japan for asset predictability. (2014). Ubukata, Masato ; Watanabe, Toshiaki.
    In: Empirical Economics.
    RePEc:spr:empeco:v:47:y:2014:i:1:p:169-198.

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  16. How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns. (2014). Skiadopoulos, George ; Konstantinidi, Eirini.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp732.

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  17. Global Variance Risk Premium and Forex Return Predictability. (2014). Aloosh, Arash.
    In: MPRA Paper.
    RePEc:pra:mprapa:59931.

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  18. Tail Risk Premia and Return Predictability. (2014). Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai .
    In: CREATES Research Papers.
    RePEc:aah:create:2014-49.

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  19. Modeling CAC40 volatility using ultra-high frequency data. (2013). Floros, Christos ; Degiannakis, Stavros.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:28:y:2013:i:c:p:68-81.

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  20. Footprints in the market: Hedge funds and the carry trade. (2013). Fong, Wai Mun.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:33:y:2013:i:c:p:41-59.

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  21. An empirical analysis of the downside risk-return trade-off at daily frequency. (2013). Sévi, Benoît ; Sevi, Benoit.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:189-197.

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  22. Economic Cycles and Expected Stock Returns. (2013). Beber, Alessandro ; Brandt, Michael ; Luisi, Maurizio .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9528.

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  23. Variance Risk Premium Differentials and Foreign Exchange Returns. (2012). Aloosh, Arash ; Arash, Aloosh .
    In: MPRA Paper.
    RePEc:pra:mprapa:40829.

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  24. What Makes the VIX Tick?. (2012). Zheng, Lin ; Zhou, Yinggang ; Bailey, Warren .
    In: Working Papers.
    RePEc:hkm:wpaper:222012.

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  25. Variance risk premiums and the forward premium puzzle. (2012). Zhou, Hao ; Londono, Juan M..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1068.

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  26. Ambiguity Aversion and Variance Premium. (2012). Zhou, Hao ; Wei, Bin ; Miao, Jianjun.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2012-009.

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  27. Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion. (2011). Ubukata, Masato ; Watanabe, Toshiaki .
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd11-214.

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  28. Short Run Bond Risk Premia. (2011). Zhou, Hao ; Mueller, Philippe ; Vedolin, Andrea.
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp686.

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  29. The variance risk premium around the world. (2011). Londono, Juan M..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1035.

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  30. Risk, uncertainty, and expected returns. (2011). Zhou, Hao ; Bali, Turan G..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-45.

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    RePEc:eee:empfin:v:16:y:2009:i:1:p:87-100.

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  43. Predictable returns and asset allocation: Should a skeptical investor time the market?. (2009). Wachter, Jessica ; Warusawitharana, Missaka.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:148:y:2009:i:2:p:162-178.

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  44. The time-varying policy neutral rate in real-time: A predictor for future inflation?. (2009). Horvath, Roman.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:1:p:71-81.

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  45. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole. (2008). Santa-Clara, Pedro ; Ferreira, Miguel.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14571.

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  46. Predictive Systems: Living with Imperfect Predictors. (2008). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13804.

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  47. Demographics and fluctuations in Dividend/Price. (2008). Favero, Carlo ; Tamoni, Andrea ; Gozluklu, Arie E..
    In: Working Papers.
    RePEc:igi:igierp:345.

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  48. Investor sentiment and stock returns: Some international evidence. (2008). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-407.

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  49. Estimating the Equity Premium. (2007). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13423.

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  50. Long-run risks and financial markets. (2007). Bansal, Ravi.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:283-300:n:v.89no.4.

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