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Editorial for "Challenge"


  • Gençay, Ramo
  • Bhattacharyya, Sugato
  • Whited, Toni
  • Yaron, Amir


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  • Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir, 2008. "Editorial for "Challenge"," Finance Research Letters, Elsevier, vol. 5(1), pages 1-1, March.
  • Handle: RePEc:eee:finlet:v:5:y:2008:i:1:p:1-1

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    References listed on IDEAS

    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    3. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
    4. I. D. Vrontos & P. Dellaportas & D. N. Politis, 2003. "A full-factor multivariate GARCH model," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 312-334, December.
    5. Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 23-46.
    6. Eugene F. Fama & Kenneth R. French, 2002. "The Equity Premium," Journal of Finance, American Finance Association, vol. 57(2), pages 637-659, April.
    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    8. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
    9. Bauwens, Luc & Lubrano, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 321-342, August.
    10. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
    11. Lanne, Markku & Luoto, Jani, 2008. "Robustness of the risk-return relationship in the U.S. stock market," Finance Research Letters, Elsevier, vol. 5(2), pages 118-127, June.
    12. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 41-61, Suppl. De.
    13. Bauwens, L. & Lubrano, M., 1997. "Bayesian Option Pricing Using Asymmetric GARCH," G.R.E.Q.A.M. 97a40, Universite Aix-Marseille III.
    14. BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen, 2006. "Regime switching GARCH models," CORE Discussion Papers 2006011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Lanne, Markku & Saikkonen, Pentti, 2006. "Why is it so difficult to uncover the risk-return tradeoff in stock returns?," Economics Letters, Elsevier, vol. 92(1), pages 118-125, July.
    16. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    17. Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-198, April.
    18. Geweke, John, 1989. "Exact predictive densities for linear models with arch disturbances," Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January.
    19. Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
    20. Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society.
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