Nonlinear risk

MaRDI QIDQ2783448zbMATH OpenFDO

Authors Marcelle Chauvet, Simon Potter

Publication date 16 April 2002

Published in Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

conditional variancedynamic factorexpected excess returnMarkov processrisk premia

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(3)

• MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS
• Extreme downside risk and market turbulence
• Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks

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