Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)

DOI10.1007/S10479-015-1972-8zbMath1416.91346OpenAlexW3122164781MaRDI QIDQ1615808

Xin Xu, David Feldman

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1972-8

zbMATH Keywords

equilibriumGARCHmarket riskpiecewise constant volatilityconstant elasticity of variancesystematic riskvolatility modelpredictive powermarket portfolioriskmetrics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• RiskMetrics

Cites Work

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