QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles
Year of publication: |
2010-04
|
---|---|
Authors: | Nyberg, Henri |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Regime switching GARCH model | GARCH-in-mean model | probit model | stock return | risk-return tradeoff | business cycle |
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