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author = "Mele, Antonio"

Found 11 documents, displaying page 3 of 2

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Description : This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatil- ity. We develop a model in which return volatility and volatility risk-premia are stochastic and derive no-arbitra...
Repository : LSE Research Online
Language(s) : Undetermined

Found 11 documents, displaying page 3 of 2