| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9698 |
| DP9698 Regime Switches in the Risk-Return Trade-off | |
| Eric Ghysels; Massimiliano Marcellino | |
| 发表日期 | 2013-10-27 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Markov-switching Midas Risk-return trade-off Conditional variance |
| URL | https://cepr.org/publications/dp9698 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538534 |
| 推荐引用方式 GB/T 7714 | Eric Ghysels,Massimiliano Marcellino. DP9698 Regime Switches in the Risk-Return Trade-off. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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