Tail risk premia and return predictability

By Tim Bollerslev, V. Todorov, Lai Xu. 2014

353 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/70f3ab3b40e708b31dc6f8b9878892f4909e17a5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Mohammad R. Jahan-Parvar
2. Cédric Okou
3. Bruno Feunou

Citations in the corpus

• Downside Variance Risk Premium (2015, positive): “Bollerslev, Todorov, and Xu (2015) show that the Investors’ Fears Index can help predict future stock market returns.”