Arshanapalli, Bala; Fabozzi, Frank J.; Nelson, William - In: International Review of Financial Analysis 29 (2013) C, pp. 212-218
Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S....
