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Risk-return relationship reinvestigated

Garg, Vidisha; Vasishth, Vibhuti - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 208-215

Persistent link: https://www.econbiz.de/10011420287

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Current volatility as a measure of market risk

Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349

Persistent link: https://www.econbiz.de/10011859119

The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis

Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320

Persistent link: https://www.econbiz.de/10009301116

World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets

Bali, Turan G. - 2012

dividend yield, earnings-to-price ratios, inflation risk, aggregate volatility risk, and past return characteristics. The main …This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …

Persistent link: https://www.econbiz.de/10013116715