Article ID Journal Published Year Pages File Type
5062213 Economics Letters 2008 4 Pages PDF
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.

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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
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