Empirical analysis of the intertemporal relationship between downside risk and expected returns : evidence from time-varying transition probability models
Cathy Yi-Hsuan Chen, Thomas C. Chiang
| Year of publication: |
November 2016
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|---|---|
| Authors: | Chen, Cathy Yi-Hsuan ; Chiang, Thomas C. |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 22.2016, 5, p. 749-796
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| Subject: | downside risk | Value-at-Risk | transition probability model | risk-return relationship | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risikomaß | Risk measure | CAPM | Risiko | Risk | Theorie | Theory | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/eufm.12079 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011713148