On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach Article

Brandt, MW, Kang, Q. (2004). On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach . JOURNAL OF FINANCIAL ECONOMICS, 72(2), 217-257. 10.1016/j.jfineco.2002.06.001

Open Access International Collaboration

cited authors

  • Brandt, MW; Kang, Q

sustainable development goals

authors

publication date

  • May 1, 2004

published in

keywords

  • Business & Economics
  • Business, Finance
  • Economics
  • INFERENCE
  • MODELS
  • PREMIUM
  • PRICES
  • RISK
  • STOCHASTIC VOLATILITY
  • Social Sciences
  • TEMPORARY COMPONENTS
  • TESTS
  • risk-return trade-off
  • time-varying moments of returns

Digital Object Identifier (DOI)

publisher

  • ELSEVIER SCIENCE SA

start page

  • 217

end page

  • 257

volume

  • 72

issue

  • 2