The long and the short of the risk-return trade-off
DOI10.1016/J.JECONOM.2015.02.040zbMATH Open1337.91137OpenAlexW2054706576MaRDI QIDQ2347734FDOQ2347734
Authors: Marco Bonomo, René Garcia, Nour Meddahi, Roméo Tédongap 
Publication date: 8 June 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.040
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cites Work
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Alternative models for stock price dynamics.
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Long-run risk-return trade-offs
- Volatility in equilibrium: asymmetries and dynamic dependencies
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Volatility puzzles: a simple framework for gauging return-volatility regressions
Cited In (14)
- Risk-return analysis. Vol. I. The theory and practice of rational investing. With contributions by Kenneth A. Blay, Anthony Tessitore, Ansel Tessitore and Nilfur Usmen. With a foreword by Stephen A. Batman
- The high frequency risk attitude implied by the volatility risk premium
- The scale of predictability
- The risk return relationship: evidence from index returns and realised variances
- Long-run risk-return trade-offs
- Intertemporal risk-return tradeoff in the short-run
- On CAPM and Black-Scholes differing risk-return strategies
- Short-run risk, business cycle, and the value premium
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- LONG-SHORT STRATEGIES: AN EXTENSION
- A new approach to risk-return trade-off dynamics via decomposition
- Why is it so difficult to uncover the risk-return tradeoff in stock returns?
- The perception of time, risk and return during periods of speculation
- Econometric analysis of financial derivatives: an overview
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