The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Müller, G., Durand, Robert, Maller, R.
Format:	Journal Article
Published:	Elsevier 2011
Subjects:	Risk premium Stochastic volatility Pseudo-maximum likelihood Market risk Continuous-time GARCH modelling Risk free rate
Online Access:	http://www.sciencedirect.com/science/article/pii/S0927539810000812 http://hdl.handle.net/20.500.11937/45802

Similar Items

Forecasting value-at-risk using maximum entropy density
by: Chan, Felix
Published: (2009)

Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization
by: Hin, L., et al.
Published: (2015)

Essays on international trade and stock market performance in China
by: Opartpunyasarn, Rungnapa
Published: (2017)

Understanding the price of volatility risk in carry trades
by: Ahmed, Shamim, et al.
Published: (2015)

The risk free rate of return in property pricing
by: Hutchison, N., et al.
Published: (2010)

Time series properties of liquidation discount
by: Chan, Felix, et al.
Published: (2013)

Borrower's moral hazard, risk premium, and welfare: a comparison of universal and stand-alone banking systems
by: Banerji, Sanjay, et al.
Published: (2015)

Modeling and forecasting volatility of index return: an empirical evidence of FTSE 100 Index
by: ZHU, Lin
Published: (2013)

Asset Pricing and Foreign Exchange Risk
by: Apergis, Nicholas, et al.
Published: (2011)

Testing intra-daily seasonality using Maximum Entropy Density
by: Chan, F., et al.
Published: (2013)

Application of maximum likelihood estimation to stochastic short rate models
by: Fergusson, Kevin, et al.
Published: (2015)

Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index
by: YU, Yang
Published: (2006)

Can Chinese security companies use Value at Risk (VaR) to measure market risk they faced: an empirical study?
by: Tan, Xiao
Published: (2006)

An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
by: Gao, Song
Published: (2014)

What drives issue spreads on commercial paper?: Evidence from New Zealand commercial paper tenders
by: Poskitt, Russell
Published: (2013)

Assessing the Performance of Parametric, Non-Parametric and Semi-Parametric Value-at-Risk Models Applied to the Chinese Stock Market
by: PENG, BO
Published: (2006)

It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?
by: Da Veiga, Bernardo, et al.
Published: (2012)

Vietnam stock market liberalisation's effect
by: Khuc, Minh Hieu
Published: (2008)

MODELLING AND FORECASTING VOLATILITY BY GARCH-TYPE MODELS: THE CASE OF VIETNAM STOCK EXCHANGE
by: Mai, Thi Thanh Hien
Published: (2008)

The relationship between bitcoin and the stock market: empirical evidence from the ASEAN countries
by: Le, Ha Duong
Published: (2025)

Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
by: Zu, Yang, et al.
Published: (2017)

Using bootstrapping to incorporate model error for risk-neutral pricing of longevity risk
by: Yang, B., et al.
Published: (2015)

Value-At-Risk: Effective and Accurate Risk Management of China's Stock Index
by: YU, Yang
Published: (2006)

The Equity Premium Puzzle in China
by: Ni, Zhiqi
Published: (2006)

Behaviour of Stock Return Autocorrelation in the GCC Stock Markets
by: Chowdhury, H., et al.
Published: (2014)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

Cross-sectional return predictability: the predictive power of return asymmetry, skewness and tail risk
by: Xu, Zhongxiang
Published: (2017)

What drives stock prices? Fundamentals, bubbles and investor behavior.
by: Chen, Y., et al.
Published: (2009)

On the folded normal distribution
by: Tsagris, Michail, et al.
Published: (2014)

Measuring and managing risk in UK listed firms
by: Roberts, Patrick
Published: (2016)

A qualitative case study for the planning and implementation of post-conflict reconstruction projects in Kosovo
by: Earnest, James, et al.
Published: (2012)

Comparison of parameters for likelihood and severities of injuries in artisanal and small-scale mining (ASM)
by: Ajith, Michael M., et al.
Published: (2019)

The risk free rate of return in UK property pricing
by: Hutchison, N., et al.
Published: (2011)

The Impact of Currency Risk on Non-financial Companies in the UK
by: Atanassov, Alexandre
Published: (2008)

Non-technical risks and their impact on the mining industry
by: Trench, Allan, et al.
Published: (2014)

Research on Systemic Risks’ Spillover Effects of China’s Commercial Banks under COVID-19
by: Ma, Lei
Published: (2020)

The robust estimation method for a finite mixture of Poisson mixed-effect models
by: Xiang, Liming, et al.
Published: (2012)

Parameter estimation on hurdle poisson regression model with censored data
by: Greene, William, et al.
Published: (2012)

Maximizing Likelihood Function for Parameter Estimation in Point Clouds via Groebner Basis
by: Awange, Joseph, et al.
Published: (2014)

Empirical Analysis of Default Risk in Chinese Listed Commercial Banks
by: Wang, Guo-Hua
Published: (2017)