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The relationship between stock returns and volatility in international stock markets

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Author Info
Li, Qi
Yang, Jian
Hsiao, Cheng
Chang, Young-Jae

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File URL: http://www.sciencedirect.com/science/article/B6VFG-4H74M1N-1/2/286202d603d7bef4def7a320beb343a7
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 12 (2005)
Issue (Month): 5 (December)
Pages: 650-665
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Handle: RePEc:eee:empfin:v:12:y:2005:i:5:p:650-665

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  1. Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
  2. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, School of Economics and Management, University of Aarhus. [Downloadable!]
  3. 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. [Downloadable!]
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This page was last updated on 2009-11-7.

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