Long-run risk-return trade-offs

DOI10.1016/J.JECONOM.2007.11.003zbMATH Open1418.62413OpenAlexW2049828044MaRDI QIDQ291124FDOQ291124

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

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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)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Regression Theory for Near-Integrated Time Series
• Modeling and Forecasting Realized Volatility
• Title not available (Why is that?)
• Why is it so difficult to uncover the risk-return tradeoff in stock returns?

Cited In (21)

• Title not available (Why is that?)
• 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
• Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
• 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
• 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
• Temporal aggregation of random walk processes and implications for economic analysis
• Long-Term Risk: A Martingale Approach
• Risk aversion and allocation to long-term bonds.
• 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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