Please use this identifier to cite or link to this item: http://pandora.lib.unipi.gr/jspui/handle/unipi/1637
Title: Implied volatility and the risk-return relation: A Note
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Citation: International Journal of Finance & Economics Volume 18, Issue 2, pages 159–164, March 2013
Abstract: A strong and positive risk-return relation for the S&P 500 market index is uncovered when the implied volatility index is allowed for in the conditional variance equation. This result holds for five alternative Generalised Autoregressive Heteroscedasticity (GARCH) specifications and irrespective of the conditional distribution. Monte Carlo evidence suggests that if implied volatility is not included while it should be, then the risk-return relation is more likely to be negative or weak.
URI: http://pandora.lib.unipi.gr/jspui/handle/unipi/1637
URLs: http://onlinelibrary.wiley.com/doi/10.1002/ijfe.449/abstract
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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