Modeling the volatility-return trade-off when volatility may be nonstationary (Q4928538)
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scientific article; zbMATH DE number 6176302
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| English | Modeling the volatility-return trade-off when volatility may be nonstationary |
scientific article; zbMATH DE number 6176302 |
Statements
Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary (English)
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14 June 2013
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quasi-maximum likelihood
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GARCH-M model
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asymptotic properties
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volatility-return relation
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0.7861597537994385
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0.7630300521850586
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0.76007479429245
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0.7582963705062866
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0.7570434212684631
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