Record ID | marc_loc_2016/BooksAll.2016.part34.utf8:84136560:1931 |
Source | Library of Congress |
Download Link | /show-records/marc_loc_2016/BooksAll.2016.part34.utf8:84136560:1931?format=raw |
LEADER: 01931cam a22003017a 4500
001 2006619400
003 DLC
005 20060630100424.0
007 cr |||||||||||
008 060629s2006 mou sb f000 0 eng
010 $a 2006619400
040 $aDLC$cDLC$dDLC
050 00 $aHB1
100 1 $aGuo, Hui.
245 10 $aInvestigating the intertemporal risk-return relation in international stock markets with the component garch model$h[electronic resource] /$cby Hui Guo and Christopher J. Neely.
260 $a[St. Louis, Mo.] :$bFederal Reserve Bank of St. Louis,$c[2006]
490 1 $aWorking paper ;$v2006-006A
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/29/2006.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically significant. Likelihood ratio tests reject the standard GARCH model in favor of the component GARCH model, which strengthens the evidence for a positive risk-return tradeoff. Consistent with U.S. evidence, the long-run component of volatility is a more important determinant of the conditional equity premium than the short-run component for most international markets"--Federal Reserve Bank of St. Louis web site.
653 $aGARCH-in-mean;$acomponent GARCH;$arisk-return relation;$ainternational stock market returns
700 1 $aNeely, Christopher J.
710 2 $aFederal Reserve Bank of St. Louis.
830 0 $aWorking paper (Federal Reserve Bank of St. Louis : Online) ;$v2006-006A.
856 40 $uhttp://research.stlouisfed.org/wp/more/2006-006/