The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. However, there is no … weights and arguments. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is …

Gibbs sampling scheme. We apply our model to a recent household panel of supermarket visit counts. We estimate the …

many models that are of great interest in practice are not covered by the general theory. If the study of a model that does … not fall under the general theory has an interest on its owns, it also allows for a better understanding of the behaviour …