The Risk Return Relationship: Evidence from Index Return and Realised Variance Series

Preprint OPEN
Minxian Yang;
(2014)
  • Subject: risk premium, volatility feedback, return predictability, realised variance model, statistical balance
    • jel: jel:C32 | jel:G12 | jel:G10 | jel:C52

The risk return relationship is analysed in bivariate models for return and realised variance(RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments... View more
  • References (12)
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