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Average idiosyncratic volatility in G7 countries

Guo, Hui; Savickas, Robert - In: The review of financial studies 21 (2008) 3, pp. 1259-1296

Persistent link: https://www.econbiz.de/10003742243

Estimating and predicting multivariate volatility thresholds in global stock markets

Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10003316303

The risk return relationship : evidence from index return and realised variance series

Yang, Minxian - 2014

Persistent link: https://www.econbiz.de/10010349309

Global and country-specific business cycle risk in time-vaying excess returns on asset markets

Nitschka, Thomas - 2012

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Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model

Chen, Cathy W. S.; Chiang, Thomas C.; So, Mike Ka-pui - In: Journal of economics & business 55 (2003) 5/6, pp. 487-502

Persistent link: https://www.econbiz.de/10001804355

On the Risk Return Relationship

Wang, Jian-Xin - 2012

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …

Persistent link: https://www.econbiz.de/10013107127