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Cross-stock market spillovers through variance risk premiums and equity flows

Cross-stock market spillovers through variance risk premiums and equity flows
Digital文書・図像類
Hattori, Masazumi, Shim, Ilhyock, Sugihara, YoshihikoInstitute of Economic Research, Hitotsubashi University2018-02
Available onlineOther Libraries in Japan
  • Summary, etc.We estimate variance risk premiums (VRPs) in the stock markets ...
  • Subject Headingcross-stock market correlation emerging market economy equity fund flow variance risk premium

Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion

Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion
Digital文書・図像類
Ubukata, Masato, Watanabe, ToshiakiInstitute of Economic Research, Hitotsubashi University2011-12
Available onlineOther Libraries in Japan
  • Summary, etc.... of the market variance risk premium (VRP) in Japan on the Nikkei ...
  • Subject Headingvariance risk premium predictability realized varia...

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