Kwiatkowski, Łukasz - In: Central European Journal of Economic Modelling and … 3 (2011) 4, pp. 187-219
The study aims at a statistical verification of breaks in the risk-return relationship for shares of individual companies quoted at the Warsaw Stock Exchange. To this end a stochastic volatility model incorporating Markov switching in-mean effect (SV-MS-M) is employed. We argue that neglecting...