Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - In: Journal of Empirical Finance 28 (2014) C, pp. 118-138
This paper deals with the estimation of the risk–return trade-off. We use a MIDAS model for the conditional variance … intuitive positive risk–return trade-off holds in the second regime. The first regime is interpreted as a “flight …