期刊名称：Discussion Paper Series / Universität Heidelberg, Department of Economics
出版年度：2015
出版社：Universität Heidelberg, Department of Economics
摘要：We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance from a GARCH-MIDAS model. We find that the new measure has strong predictive ability for future U.S. aggregate stock market returns and rationalize this result by showing that the new measure e.ectively isolates fundamental uncertainty as the factor that drives the variance risk pre
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