income volatility generates a countercyclical equilibrium market price of risk process and a procyclical equilibrium interest … rate process, and we show that when the investors' unspanned income volatility is countercyclical, the resulting …

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …

-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility …