Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions
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DOI: 10.2202/1558-3708.1820
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Cited by:
- Wang, Jianxin & Yang, Minxian, 2013.
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- Jianxin Wang & Minxian Yang, 2012. "On the Risk Return Relationship," Discussion Papers 2012-31, School of Economics, The University of New South Wales.
- Suzanne G. M. Fifield & David G. McMillan & Fiona J. McMillan, 2020. "Is there a risk and return relation?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(11), pages 1075-1101, July.
- Hao Liu & Shihan Shen & Tianyi Wang & Zhuo Huang, 2016. "Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect," China Economic Journal, Taylor & Francis Journals, vol. 9(2), pages 140-153, May.
- Dorofeenko Victor & Lee Gabriel & Salyer Kevin & Strobel Johannes, 2020. "Risk shocks with time-varying higher moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
- Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Alagidede, Imhotep Paul & Gil-Alana, Luis Alberiko, 2022. "Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX: Evidence using Markov-switching copulas," Finance Research Letters, Elsevier, vol. 47(PA).
- Minxian Yang, 2014. "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers 2014-16, School of Economics, The University of New South Wales.
- Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
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