SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Regime switches in the risk–return trade-off · Study

ArticleShelves

ArticleRegime switches in the risk–return trade-off

Éric Ghysels2014

Article2014

Regime switches in the risk–return trade-off

Éric Ghysels · Pierre Guérin · Massimiliano Giuseppe Marcellino

61 citations·0/0 files stored·Journal of Empirical Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 61 citations exist upstream.

References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1973An Intertemporal Capital Asset Pricing Model 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1987Expected stock returns and volatility 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying 2005There is a risk-return trade-off after all

Cited by

2016The Risk-Return Relationship and Financial Crises 2014Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?2019Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin 2016Risk-return trade-off for European stock markets 2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2016The Risk-Return Relationship and Financial Crisespreprint · 13 shared references 2015Modeling Covariance Risk in Merton's ICAPMarticle · 12 shared references 2009What is the Shape of the Risk-Return Relation?preprint · 12 shared references 2006Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capitalpreprint · 11 shared references 2013Time‐Varying Risk–Return Trade‐off in the Stock Marketarticle · 11 shared references 2016Risk-return trade-off for European stock marketsarticle · 11 shared references

Details

Year2014

Typearticle

Published2014-07-04

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations61

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jempfin.2014.06.007

openalex_workW2006020481

Links

Imported from OpenAlex (CC0) — nothing here is generated.