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

页码：212 / 218

页数：7

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