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Consistency tests for heteroskedastic and risk models

Pagan, Adrian R. - In: Estudios económicos 7 (1992) 1, pp. 3-30

Persistent link: https://www.econbiz.de/10001133116

Messung des besonderen Kursrisikos durch Varianzzerlegung

Huschens, Stefan - In: Kredit und Kapital 31 (1998) 4, pp. 567-591

Persistent link: https://www.econbiz.de/10001255167

Comparative statics under uncertainty : single crossing properties and log supermodularity

Athey, Susan - 1998

Persistent link: https://www.econbiz.de/10000995535

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

Persistent link: https://www.econbiz.de/10010225468