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Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

  • Guo, Hui
  • Neely, Christopher J.

Daily 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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File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(07)00316-3
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 2 (May)
Pages: 371-374

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Handle: RePEc:eee:ecolet:v:99:y:2008:i:2:p:371-374
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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