The Variance Risk Premium in Equilibrium Models
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下载链接：
https://www.nber.org/papers/w27108
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资源简介：
The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of the consumption growth distribution shifting down. These
提供机构：
美国国家经济研究局
创建时间：
2020-05-01
