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depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider …
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depends on the importance of real interest rate risk relative to other sources of risk. We extend the analysis to consider …
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It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...
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It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...
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