The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach
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- Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
More about this item
KeywordsRisk-return tradeoff; international stock markets; semi-parametric specification of conditional variance;
- F15 - International Economics - - Trade - - - Economic Integration
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
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