Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters

DOI10.1080/07350015.2017.1419140MaRDI QIDQ6634901zbMATH OpenFDO

Authors Scott Cederburg, Michael S. O'Doherty

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2017.1419140

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• An econometric analysis of nonsynchronous trading
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Eliciting Risk and Time Preferences
• Generalized autoregressive conditional heteroscedasticity
• Nonparametric risk management and implied risk aversion
• The VIX, the variance premium and stock market volatility
• Volatility puzzles: a simple framework for gauging return-volatility regressions

Cited in

(1)

• Estimating and testing for smooth structural changes in moment condition models

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