Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan
Download full text from publisher
Other versions of this item:
- Naqi Shah, Sadia & Qayyum, Abdul, 2016. "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper 85528, University Library of Munich, Germany.
References listed on IDEAS
- Muhammad Arshad Khan & Usman Ahmad, 2008.
"Energy Demand in Pakistan: A Disaggregate Analysis,"
The Pakistan Development Review,
Pakistan Institute of Development Economics, vol. 47(4), pages 437-455.
- Khan, Muhammad Arshad & Ahmed, Usman, 2009. "Energy Demand in Pakistan: A Disaggregate Analysis," MPRA Paper 15369, University Library of Munich, Germany.
- Arshad Khan, Muhammad & Ahmed, Usman, 2009. "Energy Demand in Pakistan: A Disaggregate Analysis," MPRA Paper 15056, University Library of Munich, Germany.
- Nyberg, Henri, 2012. "Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(01), pages 137-158, April.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Asiya Sohail & Attiya Yasmin Javid, 2014. "The Global Financial Crisis and Investors’ Behaviour; Evidence from the Karachi Stock Exchange," PIDE-Working Papers 2014:106, Pakistan Institute of Development Economics.
- Afia Malik, 2012. "Power Crisis in Pakistan: A Crisis in Governance?," PIDE Monograph Series 2012:4, Pakistan Institute of Development Economics.
- Sahir, Mukhtar H. & Qureshi, Arshad H., 2007. "Specific concerns of Pakistan in the context of energy security issues and geopolitics of the region," Energy Policy, Elsevier, vol. 35(4), pages 2031-2037, April.
- Sheikh, Munawar A., 2010. "Energy and renewable energy scenario of Pakistan," Renewable and Sustainable Energy Reviews, Elsevier, vol. 14(1), pages 354-363, January.
- Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2014.
"Regime switches in the risk–return trade-off,"
Journal of Empirical Finance,
Elsevier, vol. 28(C), pages 118-138.
- Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013. "Regime Switches in the Risk-Return Trade-Off," Staff Working Papers 13-51, Bank of Canada.
- Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2013. "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers 9698, C.E.P.R. Discussion Papers.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Daniel B. Nelson, 1994. "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers 0161, National Bureau of Economic Research, Inc.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- repec:bla:joares:v:21:y:1983:i:1:p:308-316 is not listed on IDEAS
- repec:pid:wpaper:2012:4 is not listed on IDEAS
- 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.
- 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.
- Kinnunen, Jyri, 2014. "Risk-return trade-off and serial correlation: Do volume and volatility matter?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 1-19.
- Muhammad Ibrahim Abdullah & Liu Wei & Waseem Anwar & Umair Saeed Bhutta, 2013. "Energy Crisis and Performance of Industry of Pakistan: An Empirical Study," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), vol. 1(3), pages 21-27, September.
- Enrique Salvador, 2012. "The Risk-Return Trade-Off in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(6), pages 106-128, November.
- John Cotter & Enrique Salvador, 2014.
"The non-linear trade-off between return and risk: a regime-switching multi-factor framework,"
- John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
More about this item
KeywordsGARCH test; Risk return relation; Paradox; GARCH-M; Pakistan;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:68783. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .