Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
Hui Guo () and
Christopher Neely ()
Economics Letters, 2008, vol. 99, issue 2, 371-374
Daily data and component GARCH (CGARCH) models strongly support a positive risk-return relation, in contrast to previous international results. Long-run volatility appears to be important in determining the conditional equity premium, but the evidence might be spurious.
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Working Paper: Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:2:p:371-374
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