Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return

DOI10.1515/jtse-2012-0018zbMath1462.62739OpenAlexW1165156456MaRDI QIDQ1695664

Nikolaos Vafiadis

Publication date: 7 February 2018

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2012-0018

zbMATH Keywords

long memoryGARCHstock returnsvolatility feedbackfinancial leveragerisk-return tradeoffFIEGARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• G@RCH

Cites Work

• An econometric analysis of nonsynchronous trading
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• ARCH modeling in finance. A review of the theory and empirical evidence
• Long-range dependence in the conditional variance of stock returns
• Long-term dependence in stock returns
• Modeling and pricing long memory in stock market volatility
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• On Bayesian Modeling of Fat Tails and Skewness
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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