RELATIONSHIP BETWEEN VOLATILITY AND EXPECTED RETURNS ACROSS INTERNATIONAL STOCK MARKETS
- 1 March 1995
- journal article
- Published by Wiley in Journal of Business Finance & Accounting
- Vol. 22 (2) , 289-300
- https://doi.org/10.1111/j.1468-5957.1995.tb00685.x
Abstract
No abstract availableKeywords
This publication has 17 references indexed in Scilit:
- ARCH modeling in financeJournal of Econometrics, 1992
- Stock Returns and VolatilityJournal of Financial and Quantitative Analysis, 1990
- The Message in Daily Exchange Rates: A Conditional-Variance TaleJournal of Business & Economic Statistics, 1989
- Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and ForecastsThe Journal of Business, 1989
- A Capital Asset Pricing Model with Time-Varying CovariancesJournal of Political Economy, 1988
- A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of ReturnThe Review of Economics and Statistics, 1987
- Estimating Time Varying Risk Premia in the Term Structure: The Arch-M ModelEconometrica, 1987
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom InflationEconometrica, 1982
- The Behavior of Stock-Market PricesThe Journal of Business, 1965