Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 99
Issue: 2
Pages: 371-374

Authors (2)

Guo, Hui (University of Cincinnati) Neely, Christopher J. (Federal Reserve Bank of St. Lo...)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Abstract

Daily data and component GARCH (CGARCH) models strongly support a positive risk-return relation, in contrast to previous international results. Long-run volatility appears to be important in determining the conditional equity premium, but the evidence might be spurious.

Technical Details

RePEc Handle
repec:eee:ecolet:v:99:y:2008:i:2:p:371-374
Journal Field
General
Author Count
2
Added to Database
2026-01-25