Risk–return relationship in equity markets: using a robust GMM estimator for GARCH-M models

DOI10.1080/14697680801898584zbMath1171.91332MaRDI QIDQ3182651

Beum J. Park

Publication date: 12 October 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680801898584

zbMATH Keywords

additive outliers; risk premium; finite-sample bias; risk-return relationship; GARCH-M model; robust GMM estimation

Mathematics Subject Classification ID

91B26: Auctions, bargaining, bidding and selling, and other market models

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Cites Work

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