Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Yunmi Kim; Charles R. Nelson
| Year of publication: |
2014
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|---|---|
| Authors: | Kim, Yunmi ; Nelson, Charles R. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 2, p. 307-328
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| Subject: | business cycles | expected returns | long-run risk (LRR) asset pricing model | market volatility | Markov-switching | risk-return trade-off | Volatilität | Volatility | Konjunktur | Business cycle | CAPM | Börsenkurs | Share price | Risiko | Risk | Risikoprämie | Risk premium | Schätzung | Estimation | Kapitaleinkommen | Capital income | Theorie | Theory | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010351545