publication . Article . Preprint . 2014

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

Minxian Yang;
Open Access
  • Published: 01 Mar 2014 Journal: SSRN Electronic Journal (eissn: 1556-5068, Copyright policy)
  • Publisher: Elsevier BV
Abstract
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 of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation between the return and RV, and the difference in the autocorrelation structures of the return and RV.
Subjects
free text keywords: risk premium, volatility feedback, return predictability, realised variance model, statistical balance, Economics, Risk premium, Autocorrelation, International market, Bivariate analysis, Realized variance, Financial economics, Volatility (finance), Rate of return on a portfolio, Econometrics, Total return index, jel:C32, jel:C52, jel:G12, jel:G10
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publication . Article . Preprint . 2014

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

Minxian Yang;