| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5085045 | International Review of Financial Analysis | 2013 | 7 Pages |
Abstract
⺠We test the risk-return relationship in U.S. stock returns. ⺠The models employed are a combination of jump diffusion and GARCH model in the mean. ⺠Relationship found if risk includes changing variance and jump events ⺠Results not consistently observed when traditional GARCH in the mean model used
Related Topics
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Economics, Econometrics and Finance
Economics and Econometrics
Authors
Bala Arshanapalli, Frank J. Fabozzi, William Nelson,