A Long-run Risks Model with Long- and Short-run Volatilities: Explaining Predictability and Volatility Risk Premium

Abstract

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… (More)

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@inproceedings{Zhou2010ALR, title={A Long-run Risks Model with Long- and Short-run Volatilities: Explaining Predictability and Volatility Risk Premium}, author={Guofu Zhou and Yingzi Zhu and Doron Avramov and Ravi Bansal and Jason Beeler and Geert Bekaert}, year={2010} }