Matches in SemOpenAlex for { <https://semopenalex.org/work/W1910367524> ?p ?o ?g. }
- W1910367524 abstract "In a long-run risk model with stochastic volatility and frictionless markets, I express expected forex returns as a function of consumption growth variances and stock variance risk premiums (VRPs)—the difference between the risk-neutral and statistical expectations of market return variation. This provides a motivation for using the forward-looking information available in stock market volatility indices to predict forex returns. Empirically, I find that stock VRPs predict forex returns at a one-month horizon, both in-sample and out-of-sample. Moreover, compared to two major currency carry predictors, global VRP has more predictive power for currency carry trade returns, bilateral forex returns, and excess equity return differentials." @default.
- W1910367524 created "2016-06-24" @default.
- W1910367524 creator A5023750952 @default.
- W1910367524 date "2012-01-01" @default.
- W1910367524 modified "2023-09-27" @default.
- W1910367524 title "Variance Risk Premium Differentials and Foreign Exchange Returns" @default.
- W1910367524 cites W1572930125 @default.
- W1910367524 cites W1574786337 @default.
- W1910367524 cites W1981822914 @default.
- W1910367524 cites W1992403182 @default.
- W1910367524 cites W2015338821 @default.
- W1910367524 cites W2025402338 @default.
- W1910367524 cites W2038845560 @default.
- W1910367524 cites W2039326745 @default.
- W1910367524 cites W2053877379 @default.
- W1910367524 cites W2077905992 @default.
- W1910367524 cites W2087925937 @default.
- W1910367524 cites W2089947992 @default.
- W1910367524 cites W2094514178 @default.
- W1910367524 cites W2108446661 @default.
- W1910367524 cites W2113704261 @default.
- W1910367524 cites W2135665921 @default.
- W1910367524 cites W2138778448 @default.
- W1910367524 cites W2140366551 @default.
- W1910367524 cites W2141185104 @default.
- W1910367524 cites W2142561788 @default.
- W1910367524 cites W2144570112 @default.
- W1910367524 cites W2148131406 @default.
- W1910367524 cites W2148359781 @default.
- W1910367524 cites W2157374408 @default.
- W1910367524 cites W2158512712 @default.
- W1910367524 cites W2158844915 @default.
- W1910367524 cites W2159879678 @default.
- W1910367524 cites W2167083497 @default.
- W1910367524 cites W2183087322 @default.
- W1910367524 cites W2650989793 @default.
- W1910367524 cites W3023337253 @default.
- W1910367524 cites W3023906401 @default.
- W1910367524 cites W3121179411 @default.
- W1910367524 cites W3121302379 @default.
- W1910367524 cites W3122056477 @default.
- W1910367524 cites W3122460797 @default.
- W1910367524 cites W3122622435 @default.
- W1910367524 cites W3122631384 @default.
- W1910367524 cites W3122758356 @default.
- W1910367524 cites W3122922273 @default.
- W1910367524 cites W3122965465 @default.
- W1910367524 cites W3123502043 @default.
- W1910367524 cites W3123520186 @default.
- W1910367524 cites W3123867420 @default.
- W1910367524 cites W3123979895 @default.
- W1910367524 cites W3123991862 @default.
- W1910367524 cites W3123998694 @default.
- W1910367524 cites W3124204226 @default.
- W1910367524 cites W3124275992 @default.
- W1910367524 cites W3124342051 @default.
- W1910367524 cites W3124453950 @default.
- W1910367524 cites W3124478777 @default.
- W1910367524 cites W3124618050 @default.
- W1910367524 cites W3124949688 @default.
- W1910367524 cites W3125007829 @default.
- W1910367524 cites W3125017137 @default.
- W1910367524 cites W3125330041 @default.
- W1910367524 cites W3125475163 @default.
- W1910367524 cites W3125794914 @default.
- W1910367524 cites W3125965922 @default.
- W1910367524 cites W3151571649 @default.
- W1910367524 doi "https://doi.org/10.2139/ssrn.2133999" @default.
- W1910367524 hasPublicationYear "2012" @default.
- W1910367524 type Work @default.
- W1910367524 sameAs 1910367524 @default.
- W1910367524 citedByCount "1" @default.
- W1910367524 countsByYear W19103675242014 @default.
- W1910367524 crossrefType "journal-article" @default.
- W1910367524 hasAuthorship W1910367524A5023750952 @default.
- W1910367524 hasBestOaLocation W19103675242 @default.
- W1910367524 hasConcept C106159729 @default.
- W1910367524 hasConcept C121955636 @default.
- W1910367524 hasConcept C149782125 @default.
- W1910367524 hasConcept C151541453 @default.
- W1910367524 hasConcept C162324750 @default.
- W1910367524 hasConcept C165705269 @default.
- W1910367524 hasConcept C17483445 @default.
- W1910367524 hasConcept C196083921 @default.
- W1910367524 hasConcept C2776988154 @default.
- W1910367524 hasConcept C2983132609 @default.
- W1910367524 hasConcept C33923547 @default.
- W1910367524 hasConcept C44731940 @default.
- W1910367524 hasConcept C556758197 @default.
- W1910367524 hasConcept C85393063 @default.
- W1910367524 hasConcept C91602232 @default.
- W1910367524 hasConceptScore W1910367524C106159729 @default.
- W1910367524 hasConceptScore W1910367524C121955636 @default.
- W1910367524 hasConceptScore W1910367524C149782125 @default.
- W1910367524 hasConceptScore W1910367524C151541453 @default.
- W1910367524 hasConceptScore W1910367524C162324750 @default.
- W1910367524 hasConceptScore W1910367524C165705269 @default.
- W1910367524 hasConceptScore W1910367524C17483445 @default.
- W1910367524 hasConceptScore W1910367524C196083921 @default.
- W1910367524 hasConceptScore W1910367524C2776988154 @default.