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

DOI10.1016/j.jedc.2019.103732zbMath1425.91358OpenAlexW3124850448WikidataQ127371573 ScholiaQ127371573MaRDI QIDQ2338525

Minxian Yang

Publication date: 21 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103732

zbMATH Keywords

risk premiumvolatility feedbackreturn predictabilitynormal variance-mean mixturerealised variance modelstatistical balance

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Uses Software

• R

Cites Work

• A new approach to risk-return trade-off dynamics via decomposition
• Temporal Aggregation of Garch Processes
• Modeling Financial Return Dynamics via Decomposition
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS
• An Intertemporal Capital Asset Pricing Model
• Modeling and Forecasting Realized Volatility
• Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
• Handbook of econometrics. Vol. 4

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