๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

There is a risk-return trade-off after all

โœ Scribed by Eric Ghysels; Pedro Santa-Clara; Rossen Valkanov


Book ID
113710730
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
591 KB
Volume
76
Category
Article
ISSN
0304-405X

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Is there a riskโ€“return trade-off? Eviden
โœ Turan G. Bali; Lin Peng ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 267 KB

## Abstract This paper examines the intertemporal relation between risk and return for the aggregate stock market using highโ€frequency data. We use daily realized, GARCH, implied, and rangeโ€based volatility estimators to determine the existence and significance of a riskโ€“return tradeโ€off for severa