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ArticleRisk and return: Long-run relations, fractional cointegration, and return predictability

Tim Bollerslev2013

Article2013

Risk and return: Long-run relations, fractional cointegration, and return predictability

Tim Bollerslev · Daniela Osterrieder · Natalia Sizova · George E. Tauchen

149 citations·0/0 files stored·Journal of Financial Economics

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

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series 1980On estimating the expected return on the market

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Year2013

Typearticle

Published2013-01-09

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations149

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfineco.2013.01.002

openalex_workW2137287701

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