Unbalanced Regressions and the Predictive Equation

Daniela Osterrieder; Daniel Ventosa-Santaulària; J. Eduardo Vera-Valdés

Unbalanced Regressions and the Predictive Equation

Daniela Osterrieder, Daniel Ventosa-Santaulària, J. Eduardo Vera-Valdés

Research output: Working paper/Preprint › Working paper › Research

Abstract

This is an earlier working paper version of the published article titled "The VIX, the Variance Premium, and Expected Returns". You can access the accepted author manuscript version of the latter in VBN.

Original language	English
Publisher	Aarhus Universitetsforlag
Pages	1 - 56
Publication status	Published - 4 Feb 2015

Bibliographical note

This is an earlier working paper version of the published article titled "The VIX, the Variance Premium, and Expected Returns". You can access the accepted author manuscript version of the latter in VBN.

Keywords

Predictive regression, persistent predictor, fractional integration, regression unbalancedness, IV estimation

Access to Document

http://pure.au.dk/portal/files/84755474/rp15_09.pdf

AUB Link

Search for the material in Aalborg University Library's search engine

1 Journal article

The VIX, the Variance Premium, and Expected Returns
Osterrieder, D., Ventosa-Santaulària, D. & Vera-Valdés, J. E., 2019, In: Journal of Financial Econometrics. 17, 4, p. 517-558 42 p.
Research output: Contribution to journal › Journal article › Research › peer-review

Open Access
File
10 Citations (Scopus)

629 Downloads (Pure)

Cite this

@techreport{5476590767a9404bac79ad39047ed42b,

title = "Unbalanced Regressions and the Predictive Equation",

abstract = "This is an earlier working paper version of the published article titled {"}The VIX, the Variance Premium, and Expected Returns{"}. You can access the accepted author manuscript version of the latter in VBN.",

keywords = "Predictive regression, persistent predictor, fractional integration, regression unbalancedness, IV estimation",

author = "Daniela Osterrieder and Daniel Ventosa-Santaul{\`a}ria and Vera-Vald{\'e}s, {J. Eduardo}",

note = "This is an earlier working paper version of the published article titled {"}The VIX, the Variance Premium, and Expected Returns{"}. You can access the accepted author manuscript version of the latter in VBN.",

year = "2015",

month = feb,

day = "4",

language = "English",

pages = "1 -- 56",

publisher = "Aarhus Universitetsforlag",

address = "Denmark",

type = "WorkingPaper",

institution = "Aarhus Universitetsforlag",

}

TY - UNPB

T1 - Unbalanced Regressions and the Predictive Equation

AU - Osterrieder, Daniela

AU - Ventosa-Santaulària, Daniel

AU - Vera-Valdés, J. Eduardo

N1 - This is an earlier working paper version of the published article titled "The VIX, the Variance Premium, and Expected Returns". You can access the accepted author manuscript version of the latter in VBN.

PY - 2015/2/4

Y1 - 2015/2/4

N2 - This is an earlier working paper version of the published article titled "The VIX, the Variance Premium, and Expected Returns". You can access the accepted author manuscript version of the latter in VBN.

AB - This is an earlier working paper version of the published article titled "The VIX, the Variance Premium, and Expected Returns". You can access the accepted author manuscript version of the latter in VBN.

KW - Predictive regression, persistent predictor, fractional integration, regression unbalancedness, IV estimation

M3 - Working paper

SP - 1

EP - 56

BT - Unbalanced Regressions and the Predictive Equation

PB - Aarhus Universitetsforlag

ER -

Unbalanced Regressions and the Predictive Equation

Abstract

Bibliographical note

Keywords

Access to Document

AUB Link

Fingerprint

Research output

The VIX, the Variance Premium, and Expected Returns

Cite this