Martin Vance L.; Saikat, Sarkar; Jaakko, Kanto Antti - In: Studies in Nonlinear Dynamics & Econometrics 18 (2014) 1, pp. 51-72
A time-varying model of equity returns consisting of a volatility factor with time-varying loading, is specified to investigate the dynamical effects of shocks on expected returns. The proposed specification yields a nonlinear relationship between the conditional mean and the news, referred to...