Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

Daily data and component GARCH (CGARCH) models strongly support a positive risk-return relation, in contrast to previous international results. Long-run volatility appears to be important in determining the conditional equity premium, but the evidence might be spurious.

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Year of publication:	2008
Authors:	Guo, Hui ; Neely, Christopher J.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 2, p. 371-374
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005275517