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Asymmetric volatility and conditional expected returns : evidence from emerging market sectors

Al Refai, Hisham M.; Eissa, Mohamed Abdelaziz; Zeitun, Rami - In: International journal of emerging markets 12 (2017) 2, pp. 335-351

Persistent link: https://www.econbiz.de/10011760771

The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach

Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146

Persistent link: https://www.econbiz.de/10014279147

What can EMU countries' sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?

Dötz, Niko; Fischer, Christoph - 2010

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

Persistent link: https://www.econbiz.de/10010300392

International output and inflation uncertainty and their impact on countries' macroeconomic performance : evidence from a dynamic factor GARCH-in-mean model

Berger, Tino; Grabert, Sibylle - In: Macroeconomic dynamics 22 (2018) 5, pp. 1113-1133

Persistent link: https://www.econbiz.de/10011916919

An empirical analysis of the downside risk-return trade-off at daily frequency

Sévi, Benoît - In: Economic modelling 31 (2013), pp. 189-197

Persistent link: https://www.econbiz.de/10009729143

Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?

Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77

Persistent link: https://www.econbiz.de/10011284508

Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return

Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216

Persistent link: https://www.econbiz.de/10011291298

Estimating the risk-return trade-off with overlapping data inference

Hedegaard, Esben; Hodrick, Robert J. - In: Journal of banking & finance 67 (2016), pp. 135-145

Persistent link: https://www.econbiz.de/10011634670

The time-varying GARCH-in-mean model

Dias, Gustavo Fruet - In: Economics letters 157 (2017), pp. 129-132

Persistent link: https://www.econbiz.de/10011847330

The role of sectoral shifts in the great moderation

Burren, Daniel - 2008

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar period. This paper thoroughly estimates how much sectoral shifts contributed to this phenomenon called the Great Moderation. In a short section, Stock and Watson (2003) find...

Persistent link: https://www.econbiz.de/10010316043