Preprint
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis
Abstract
The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess returns and contemporaneous log-realized variances nonparametrically with an infinite mixture representation of their joint distribution. The conditional …
Authors
Jensen MJ; Maheu JM
Publication date
January 1, 2014
DOI
10.2139/ssrn.2580313
Preprint server
SSRN Electronic Journal