Long-run risk-return trade-offs

DOI10.1016/j.jeconom.2007.11.003zbMath1418.62413OpenAlexW2049828044MaRDI QIDQ291124

Benoit Perron, Federico M. Bandi

Publication date: 6 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.11.003

zbMATH Keywords

long runpast market variancestock-return predictability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (11)

Horizon effect in the term structure of long-run risk-return trade-offs ⋮ Nonparametric prediction of stock returns based on yearly data: the long-term view ⋮ Temporal aggregation of random walk processes and implications for economic analysis ⋮ The scale of predictability ⋮ Long horizon predictability: an asset allocation perspective ⋮ Long-run wavelet-based correlation for financial time series ⋮ On the use of high frequency measures of volatility in MIDAS regressions ⋮ Extreme downside risk and market turbulence ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ Robust inference for predictability in smooth transition predictive regressions ⋮ The long and the short of the risk-return trade-off

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Why is it so difficult to uncover the risk-return tradeoff in stock returns?
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Regression Theory for Near-Integrated Time Series
• Modeling and Forecasting Realized Volatility
• Unnamed Item

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