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Why are stock returns and volatility negatively correlated?
Bae, Jinho; Kim, Chang-jin; Nelson, Charles R. - In: Journal of empirical finance 14 (2007) 1, pp. 41-58
Persistent link: https://www.econbiz.de/10003416062
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Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
Kim, Chang-jin; Morley, James C.; Nelson, Charles R. - In: Journal of empirical finance 8 (2001) 4, pp. 403-426
Persistent link: https://www.econbiz.de/10001607064
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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of empirical finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10001374883
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Testing for mean reversion in heteroskedastic data II : autoregression tests based on Gibbs-sampling-augmented randomization
Kim, Chang-Jin; Nelson, Charles R. - In: Journal of empirical finance 5 (1998) 4, pp. 385-396
Persistent link: https://www.econbiz.de/10001375196