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
Abstract:
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.
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(07)00316-3
Full text for ScienceDirect subscribers only
Related works:
Working Paper: Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model (2006) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:2:p:371-374
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().