DC Field | Value | Language |
---|---|---|
dc.contributor.author | Byun, Suk Joon | ko |
dc.contributor.author | Frijns, Bart | ko |
dc.contributor.author | Roh, Tai-Yong | ko |
dc.date.accessioned | 2018-04-24T02:15:21Z | - |
dc.date.available | 2018-04-24T02:15:21Z | - |
dc.date.created | 2018-03-18 | - |
dc.date.created | 2018-03-18 | - |
dc.date.issued | 2018-04 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.38, no.4, pp.425 - 445 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/241087 | - |
dc.description.abstract | The discrepancy between in-sample and out-of-sample predictability of common predictors for asset returns has been widely discussed in the literature. We examine the out-of-sample predictability and its economic significance of Variance risk premium (VRP), which recently has shown empirical success in predicting asset returns in-sample. Extensive analysis indicates strong out-of-sample predictability of the VRP for U.S. stock index, currencies, credit index, and equity portfolios. However, we do not find any evidence for predictability of bond and commodity markets. We demonstrate economic significance by providing profitable market timing strategies exploiting the out-of-sample forecasting power of the VRP in a real time setting. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.subject | EXPECTED RETURNS | - |
dc.subject | STOCK RETURNS | - |
dc.subject | SAMPLE | - |
dc.subject | REGRESSIONS | - |
dc.subject | VOLATILITY | - |
dc.subject | OUTPUT | - |
dc.subject | TESTS | - |
dc.title | A Comprehensive Look at the Return Predictability of Variance Risk Premia | - |
dc.type | Article | - |
dc.identifier.wosid | 000426732100002 | - |
dc.identifier.scopusid | 2-s2.0-85030535212 | - |
dc.type.rims | ART | - |
dc.citation.volume | 38 | - |
dc.citation.issue | 4 | - |
dc.citation.beginningpage | 425 | - |
dc.citation.endingpage | 445 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.21882 | - |
dc.contributor.localauthor | Byun, Suk Joon | - |
dc.contributor.nonIdAuthor | Frijns, Bart | - |
dc.contributor.nonIdAuthor | Roh, Tai-Yong | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | asset allocation | - |
dc.subject.keywordAuthor | economic significance of predictability | - |
dc.subject.keywordAuthor | macroeconomic uncertainty | - |
dc.subject.keywordAuthor | return predictability | - |
dc.subject.keywordAuthor | variance risk premium | - |
dc.subject.keywordPlus | EXPECTED RETURNS | - |
dc.subject.keywordPlus | STOCK RETURNS | - |
dc.subject.keywordPlus | SAMPLE | - |
dc.subject.keywordPlus | REGRESSIONS | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | OUTPUT | - |
dc.subject.keywordPlus | TESTS | - |
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