Stock return predictability and variance risk premia : a frequency domain analysis

The main objective of this thesis is to analyze the out-of-sample equity return forecasting power of the variance risk premia and its frequency components. The variance risk premia (VRP) is represented by the difference between the risk neutral (implied variance) and physical (realized variance) exp...

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Bibliographic Details
Main Author: Magalhães, Pedro Teixeira (author)
Format: masterThesis
Language:eng
Published: 2021
Subjects:
Equity excess return
Variance risk premia
Predictability
Frequency domain
Excesso de retorno de capital
Prémio de risco de variância
Previsibilidade
Domínio de frequência
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10400.14/35252
Country:Portugal
Oai:oai:repositorio.ucp.pt:10400.14/35252

Internet

http://hdl.handle.net/10400.14/35252

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