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Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model
Chen, Cathy W. S.; Chiang, Thomas C.; So, Mike Ka-pui - In: Journal of economics & business 55 (2003) 5/6, pp. 487-502
Persistent link: https://www.econbiz.de/10001804355
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2019
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10012904964
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On the Risk Return Relationship
Wang, Jian-xin - 2012
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 return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …
Persistent link: https://www.econbiz.de/10013107127
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On the Risk Return Relationship
Yang, Minxian - 2012
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 return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …
Persistent link: https://www.econbiz.de/10013107156
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Global and country-specific business cycle risk in time-vaying excess returns on asset markets
Nitschka, Thomas - 2012
Persistent link: https://www.econbiz.de/10009674033
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The risk return relationship : evidence from index return and realised variance series
Yang, Minxian - 2014
Persistent link: https://www.econbiz.de/10010349309
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
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Average idiosyncratic volatility in G7 countries
Guo, Hui; Savickas, Robert - In: The review of financial studies 21 (2008) 3, pp. 1259-1296
Persistent link: https://www.econbiz.de/10003742243
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The Risk Return Relationship : Evidence from Index Returns and Realised Variances
Yang, Minxian - 2020
series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback … and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is …
Persistent link: https://www.econbiz.de/10012848134
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The Risk Return Relationship : Evidence from Index Return and Realised Variance Series
Yang, Minxian - 2014
findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …
Persistent link: https://www.econbiz.de/10013056852