On the Intertemporal Risk-Return Relation: A Bayesian Model Comparison Perspective
The existing empirical studies indicate that inferences on the intertemporal relation between expected return and volatility are highly sensitive to empirical specifications of return dynamics. Glosten, Jagannathan, and Runkle (1993) attempt to resolve this confusing situation by examining several g...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2768 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3767/viewcontent/paperRRrWang.pdf |
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| Institution: | Singapore Management University |
| Language: | English |