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- W2017233816 abstract "Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S. stock returns. The results suggest a statistically significant relationship between risk and return if the risk measure includes components of smoothly changing variance and jump events." @default.
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- W2017233816 date "2013-09-01" @default.
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- W2017233816 title "The role of jump dynamics in the risk–return relationship" @default.
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- W2017233816 doi "https://doi.org/10.1016/j.irfa.2012.11.004" @default.
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