Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
In this paper, we let the data speak for itself about the existence of volatility feedback and the often debated risk–return relationship. We do this by modeling the contemporaneous relationship between market excess returns and log-realized variances with a nonparametric, infinitely-order...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-09-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1911-8074/11/3/52 |