Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
AbstractDaily data and component GARCH (CGARCH) models strongly support a positive risk-return relation, in contrast to previous international results. Long-run volatility appears to be important in determining the conditional equity premium, but the evidence might be spurious.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 99 (2008)
Issue (Month): 2 (May)
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Other versions of this item:
- Hui Guo & Christopher J. Neely, 2006. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers 2006-006, Federal Reserve Bank of St. Louis.
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