二元分析
ARCH模型
计量经济学
经济
风险-回报谱
条件方差
库存(枪支)
差异(会计)
股票市场指数
金融经济学
股票市场
统计
数学
波动性(金融)
工程类
地理
文件夹
背景(考古学)
考古
会计
机械工程
作者
Ángel León,Juan M. Nave,Gonzalo Rubio
标识
DOI:10.1016/j.jbankfin.2006.07.011
摘要
We employ MIDAS (mixed data sampling) to study the risk–expected return trade-off in several European stock indices. Using MIDAS, we report that in most indices there is a significant positive relationship between risk and expected return. This strongly contrasts with the result we obtain when we employ both symmetric and asymmetric GARCH models for conditional variance. We also find that asymmetric specifications of the variance process within the MIDAS framework improve the relationship between risk and expected return. As an additional application, we analyze the extent to which European stock markets are integrated, which is a particularly relevant issue, especially following the launch of the Euro in January 1999. Finally, we propose a bivariate MIDAS specification to test the pricing significance of the hedging component within an intertemporal risk–return trade-off with multiple European market indices.
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