KIM, SEI-WAN; LEE, BONG-SOO - In: Economic Inquiry 46 (2008) 2, pp. 131-148
"We study how three interrelated phenomena-excess stock returns and risk relation, risk aversion, and asymmetric volatility movement-change over business cycles. Using an asymmetric generalized autoregressive conditional heteroskedasticity in mean model and a Markov switching model, we find that...