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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
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Working Paper: Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model (2006) Downloads
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