The role of jump dynamics in the risk-return relationship

被引：5
|
作者：
Arshanapalli, Bala [1 ]
Fabozzi, Frank J.
Nelson, William [1 ]
机构：
[1] Indiana Univ Northwest, Sch Business & Econ, Gary, IN USA
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2013年 / 29卷
关键词：
Time-varying risk premium; Mixed GARCH; Jump diffusion model; STOCK RETURNS; VOLATILITY; COMPONENTS; NEWS;
D O I：
10.1016/j.irfa.2012.11.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Surprisingly, a positive risk-return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk-return relationship for U.S. stock returns. The results suggest a statistically significant relationship between risk and return if the risk measure includes components of smoothly changing variance and jump events. (C) 2012 Elsevier Inc. All rights reserved.
引用
收藏
页码：212 / 218
页数：7
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