The role of jump dynamics in the risk-return relationship
Year of publication: |
2013
|
---|---|
Authors: | Arshanapalli, Bala Gangadhar ; Fabozzi, Frank J. ; Nelson, William |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 29.2013, p. 212-218
|
Subject: | Time-varying risk premium | Mixed GARCH | Jump diffusion model | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Volatilität | Volatility | Schätzung | Estimation | Risiko | Risk | CAPM |
-
Liu, Hao, (2016)
-
Hueng, C. James, (2014)
-
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique, (2014)
- More ...
-
The value, size, and momentum spread during distressed economic periods
Arshanapalli, Bala Gangadhar, (2006)
-
Measurement error in the cost of equity of U.S. industries
Arshanapalli, Bala Gangadhar, (1999)
-
Asset allocation options for wealth accumulation
Arshanapalli, Bala Gangadhar, (2012)
- More ...