Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
- Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.
More about this item
KeywordsRisk-return relationship; Risk premium; Robust GMM estimation; GARCH-M model; Additive outliers; Finite-sample bias;
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