Nyberg, Henri - In: Journal of Financial and Quantitative Analysis 47 (2012) 01, pp. 137-158
In the empirical finance literature, findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, I develop a new qualitative response (QR)-generalized autoregressive conditional heteroskedasticity-in-mean (GARCH-M) model combining a probit model for a binary...