The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis
We analysed daily returns of the CRSP value weighted and equally weighted indices over 1953–2007 in order to test for Merton's theorised relationship between risk and return. Like someprevious studies we used a GARCH stochastic volatility approach, employing not only traditionaldiscrete time GA...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2011
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| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S0927539810000812 http://hdl.handle.net/20.500.11937/45802 |