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Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model. (English) Zbl 1255.91353

Summary: 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.

MSC:

91B84 Economic time series analysis
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