The long and the short of the risk-return trade-off

DOI10.1016/J.JECONOM.2015.02.040MaRDI QIDQ2347734zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

realized measurestime-aggregationequilibrium asset pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Recommendations

• Long-run risk-return trade-offs
• Intertemporal risk-return tradeoff in the short-run
• A new approach to risk-return trade-off dynamics via decomposition
• The perception of time, risk and return during periods of speculation
• MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Alternative models for stock price dynamics.
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Long-run risk-return trade-offs
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Volatility in equilibrium: asymmetries and dynamic dependencies
• Volatility puzzles: a simple framework for gauging return-volatility regressions

Cited in

(14)

• Econometric analysis of financial derivatives: an overview
• 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
• A new approach to risk-return trade-off dynamics via decomposition
• LONG-SHORT STRATEGIES: AN EXTENSION
• 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

This page was built for publication: The long and the short of the risk-return trade-off

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2347734)