On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach

Journal of Financial Economics

Volumn 72, Issue 2, 2004, Pages 217-257

  Brandt, Michael W ^a   Kang, Qiang ^b  

^a DUKE UNIVERSITY   (United States)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Risk return trade off; Time varying moments of returns

Indexed keywords

EID: 1842759799     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2002.06.001     Document Type: Article

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