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Document type:
Zeitschriftenaufsatz 
Author(s):
Müller, G., Durand, R.B., and Maller, R.A. 
Title:
The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis 
Abstract:
We analysed daily returns of the CRSP value weighted and equally weighted indices over 1953–2007 in order to test for Merton's theorised relationship between risk and return. Like some previous studies we used a GARCH stochastic volatility approach, employing not only traditional discrete time GARCH models but also using a COGARCH - a newly developed continuous-time GARCH model which allows for a rigorous analysis of unequally spaced data. When a risk–return relationship symmetric to positive or...    »
 
Keywords:
Continuous-time GARCH Modelling, Market Risk, Pseudo-Maximum Likelihood. Risk Free Rate, Risk Premium, Stochastic Volatility 
Journal title:
Journal of Empirical Finance 
Year:
2011 
Journal volume:
18 
Journal issue:
Pages contribution:
306-320 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text