Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062543 | Economics Letters | 2006 | 8 Pages |
Abstract
The low power of the standard Wald test in a GARCH-in-Mean model with an unnecessary intercept is shown to explain the apparent absence of a risk-return tradeoff in stocks. The importance of this finding is illustrated with monthly U.S. data.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Markku Lanne, Pentti Saikkonen,