A new approach to risk-return trade-off dynamics via decomposition

DOI10.1016/j.jedc.2015.11.002zbMath1401.91560OpenAlexW2186517735MaRDI QIDQ1656505

Xiaochun Liu, David T. Frazier

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2015.11.002

zbMATH Keywords

copulasasset pricingnonlinear dependenceinternational financial marketsabsolute return and signreturn skewness and asymmetry

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

The risk return relationship: evidence from index returns and realised variances

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