This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income; allowing for non-stationary, non-linearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model...

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...

While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk...