An empirical analysis of the downside risk-return trade-off at daily frequency
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DOI: 10.1016/j.econmod.2012.11.059
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- Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
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Keywords
Downside-risk; HAR model; Intraday data; MIDAS regressions; risk-return tradeoff;All these keywords.
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