On the Intertemporal Risk-Return Relation: A Bayesian Model Comparison Perspective

• Main Author: Wang, Leping
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2005
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...