Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - In: Journal of Empirical Finance 28 (2014) C, pp. 118-138
This paper deals with the estimation of the risk–return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk–return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk–return relation....
