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- W1979808497 abstract "Abstract The paper applies a Factor-GARCH model to evaluate the impact of the market portfolio, as a single common dynamic risk factor, on conditional volatility and risk premia for the returns on size-based equity portfolios of three major European markets; France, Germany and the United Kingdom. The results show that for the size-based portfolios the factor loading for the dynamic market factor is significant and positive but the association between the risk premia and the conditional market volatility is weak. However, the dynamic market factor is shown to explain common characteristics in the conditional variance such as asymmetry and persistence. This finding is consistent across markets and portfolio sizes." @default.
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- W1979808497 date "2008-08-01" @default.
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- W1979808497 title "Modeling common volatility characteristics and dynamic risk premia in European equity markets" @default.
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- W1979808497 doi "https://doi.org/10.1016/j.qref.2008.01.002" @default.
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