Narrow search
Showing 1 - 4 of 4
Cover Image
On the relation between the expected value and the volatility of the nominal excess return on stocks
Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - 1993
Persistent link: https://www.econbiz.de/10000870606
Cover Image
On the relation between the expected value and the volatility of the nominal excess return on stocks
Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - 1993 - rev
Persistent link: https://www.econbiz.de/10000142591
Cover Image
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1779-1802
Persistent link: https://www.econbiz.de/10006603626
Cover Image
On the relation between the expected value and the volatility of the nominal excess return on stocks
Glosten, Lawrence R.; Jagannathan, Ravi; Runkle, David E. - Federal Reserve Bank of Minneapolis - 1993
We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH-M model modified by allowing (i) seasonal patterns in volatility, (ii) positive and negative innovations to returns having different impacts on...
Persistent link: https://www.econbiz.de/10005498481