GALAGEDERA, DON U. A.; FAFF, ROBERT - In: International Journal of Theoretical and Applied … 08 (2005) 01, pp. 75-95
This paper investigates whether the risk-return relation varies, depending on changing market volatility and up/down market conditions. Three market regimes based on the level of conditional volatility of market returns are specified — "low", "neutral" and "high". The market model is extended...