Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
Kuang-Liang Chang
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Chang, Kuang-Liang |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 42.2016, p. 72-87
|
| Subject: | Markov switching | Return-volatility relationship | Stock return dynamics | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Volatilität | Volatility | Risiko | Risk | ARCH-Modell | ARCH model | Schätzung | Estimation | Theorie | Theory | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.10.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011625059