dc.contributor.author | GHYSELS, Eric | |
dc.contributor.author | GUERIN, Pierre | |
dc.contributor.author | MARCELLINO, Massimiliano | |
dc.date.accessioned | 2016-03-09T17:20:20Z | |
dc.date.available | 2016-03-09T17:20:20Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Journal of empirical finance, 2014, Vol. 28, pp. 118-138 | |
dc.identifier.issn | 0927-5398 | |
dc.identifier.uri | https://hdl.handle.net/1814/39508 | |
dc.description.abstract | This paper deals with the estimation of the risk–return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk–return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk–return relation. This finding is robust to a large range of specifications. In the first regime characterized by low ex-post returns and high volatility, the risk–return relation is reversed, whereas the intuitive positive risk–return trade-off holds in the second regime. The first regime is interpreted as a “flight-to-quality” regime. | |
dc.language.iso | en | |
dc.relation.ispartof | Journal of empirical finance | |
dc.title | Regime switches in the risk-return trade-off | |
dc.type | Article | |
dc.identifier.doi | 10.1016/j.jempfin.2014.06.007 | |
dc.identifier.volume | 28 | |
dc.identifier.startpage | 118 | |
dc.identifier.endpage | 138 | |