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Countercyclical and Time-Varying Risk Aversion and the Equity Premium

Antell, Jan - 2020

This paper tests the positivity and counter-cyclicality of the reward to market risk (risk aversion). Earlier empirical support has been at best inconclusive. We apply the reverse testing approach of Antell and Vaihekoski (2019) to the conditional ICAPM. Using various GARCH models for the...

Persistent link: https://www.econbiz.de/10012855629

Expected and realized returns in conditional asset pricing models: a new testing approach

Antell, Jan; Vaihekoski, Mika - In: Journal of empirical finance 52 (2019), pp. 220-236

Persistent link: https://www.econbiz.de/10012171126

Countercyclical and time-varying reward to risk and the equity premium

Antell, Jan; Vaihekoski, Mika - In: Research in international business and finance 66 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460255

Bootstrap and fast double bootstrap tests of cointegration rank with financial time series

Ahlgren, Niklas (contributor); Antell, Jan (contributor) - 2006

Persistent link: https://www.econbiz.de/10003367377

The power of bootstrap tests of cointegration rank with financial time series

Ahlgren, Niklas; Antell, Jan - 2009

Persistent link: https://www.econbiz.de/10003846167

Intertemporal capital asset pricing model with time-varying parameters : tests on data from the Helsinki stock exchange

Vaihekoski, Mika - 1996

Persistent link: https://www.econbiz.de/10000936899

Short-term returns and the predictability of Finnish stock returns

Vaihekoski, Mika - In: Finnish economic papers 11 (1998) 1, pp. 19-36

Persistent link: https://www.econbiz.de/10001248141

Essays on conditional asset pricing models and predictability of Finnish stock returns

Vaihekoski, Mika - 1997

Persistent link: https://www.econbiz.de/10000638039

Portfolio construction for tests of asset pricing models : [the impact of the euro on Europe's financial markets]

Vaihekoski, Mika - 2004

Persistent link: https://www.econbiz.de/10001948500

Time-varying betas and intertemporal capital asset pricing model

Vaihekoski, Mika - In: Essays on conditional asset pricing models and …, (pp. 55-104). 1997

Persistent link: https://www.econbiz.de/10001322628

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