Dynamic Relation between Volatility Risk Premia of Stock and Oil Returns
“On the other hand, the VRP of oil has significantly positive and long-lasting effects on that of stocks after the outbreak of financial crises.”
AssetEquitiesbonds, currency pairs
StrategyVolatility risk premiummachine learning
FrequencyDaily
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
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