Please use this identifier to cite or link to this item:
|Title:||Implied volatility and the risk-return relation: A Note|
|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.|
|Appears in Collections:||Δημοσιεύσεις σε Περιοδικά|
Files in This Item:
There are no files associated with this item.
Show full item record
Items in CRIS are protected by copyright, with all rights reserved, unless otherwise indicated.