Long-run risk-return trade-offs

DOI10.1016/J.JECONOM.2007.11.003MaRDI QIDQ291124zbMATH OpenOpenAlexFDO

Authors Federico M. Bandi, Benoit Perron

Publication date 6 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2007.11.003

zbMATH Keywords

long runpast market variancestock-return predictability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Modeling and Forecasting Realized Volatility
• Regression Theory for Near-Integrated Time Series
• Why is it so difficult to uncover the risk-return tradeoff in stock returns?

Cited in

(26)

• scientific article; zbMATH DE number 1086995 (Why is no real title available?)
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• Long horizon predictability: an asset allocation perspective
• The scale of predictability
• Long run risk sensitive portfolio with general factors
• Consumption volatility and the cross-section of stock returns
• Value return predictability across asset classes and commonalities in risk premia
• Intertemporal risk-return tradeoff in the short-run
• On CAPM and Black-Scholes differing risk-return strategies
• Horizon effect in the term structure of long-run risk-return trade-offs
• Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
• Long-run wavelet-based correlation for financial time series
• On the use of high frequency measures of volatility in MIDAS regressions
• Short-run risk, business cycle, and the value premium
• The long and the short of the risk-return trade-off
• Trading volume and time varying betas
• On the long-run volatility of stocks
• Temporal aggregation of random walk processes and implications for economic analysis
• The rate of return on everything, 1870--2015
• Risk aversion and allocation to long-term bonds.
• Long-Term Risk: A Martingale Approach
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• Robust inference for predictability in smooth transition predictive regressions
• Long-Horizon Stock Returns Are Positively Skewed
• Common risk factors in the returns on stocks and bonds
• Extreme downside risk and market turbulence

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