The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Gernot Müller; Robert B. Durand; Ross A. Maller
| Year of publication: |
2011
|
|---|---|
| Authors: | Müller, Gernot ; Durand, Robert B. ; Maller, Ross A. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 2, p. 306-320
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| Subject: | Continuous-time GARCH modelling | Market risk | Pseudo-maximum likelihood | Risk free rate | Risk premium | Stochastic volatility | Risikoprämie | Volatilität | Volatility | ARCH-Modell | ARCH model | Risiko | Risk | Theorie | Theory | Kapitaleinkommen | Capital income | CAPM | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Marktrisiko |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009301116