The risk return relationship: Evidence from index returns and realised variances
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DOI: 10.1016/j.jedc.2019.103732
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More about this item
Keywords
Risk premium; Volatility feedback; Return predictability; Statistical balance; Normal variance-mean mixture; Realised variance model;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Statistics
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