Unbalanced Regressions and the Predictive Equation

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

Research output: Working paperResearch

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 languageEnglish
PublisherAarhus Universitetsforlag
Pages1 - 56
Publication statusPublished - 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

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