Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

DOI10.1016/J.ECONLET.2007.09.001zbMath1255.91353OpenAlexW3122107118MaRDI QIDQ1934775

Hui Guo, Christopher J. Neely

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.09.001

zbMATH Keywords

returnriskGARCH-in-meancomponent GARCHinternational stock market

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Market price of risk estimation: Does distribution matter?

Cites Work

• Why is it so difficult to uncover the risk-return tradeoff in stock returns?
• An Intertemporal Capital Asset Pricing Model

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