The long and the short of the risk-return trade-off

DOI10.1016/J.JECONOM.2015.02.040zbMath1337.91137OpenAlexW2054706576MaRDI QIDQ2347734

Marco Bonomo, Nour Meddahi, Roméo Tédongap, René Garcia

Publication date: 8 June 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.040

zbMATH Keywords

realized measurestime-aggregationequilibrium asset pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (4)

A new approach to risk-return trade-off dynamics via decomposition ⋮ Dynamics of variance risk premia: a new model for disentangling the price of risk ⋮ The scale of predictability ⋮ Econometric analysis of financial derivatives: an overview

Cites Work

• Long-run risk-return trade-offs
• Volatility puzzles: a simple framework for gauging return-volatility regressions
• Alternative models for stock price dynamics.
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

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