There is a Risk-Return Tradeoff after All

By Eric Ghysels, Pedro Santa-clara, Rossen Valkanov. 2005

548 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3becc2622b9f506f56d456d851ada335e78badd2

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Citations in the corpus

The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2015, unknown): “Ghysels et al. (2005) forecast monthly variance with past daily squared returns (a method referred to as mixed data sampling or MIDAS) and report that the forecast variance process is highly correlatedwith both theGARCH and the rollingwindows estimates (French et al., 1987).”
Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas (2011, unknown): “The method also allows one to use beta estimates from multiple prior windows — which may be useful if stocks have short- and long-run components in risk (e.g., Ghysels, Santa-Clara, and Valkanov, 2005) — in combination with traditional instruments such as the dividend yield.”
The MIDAS Touch: Mixed Data Sampling Regression Models (2004, unknown): “Ghysels, Santa-Clara, and Valkanov (2002) show that MIDAS regressions for volatility provide a versatile and powerful tool to study the risk-return trade-off and improve upon existing models of volatility.”
Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009, unknown): “Similar to the original findings of Harrison and Zhang (1999), Ghysels et al. (2005) present evidence on the risk-return tradeoff.”
Asset pricing and ambiguity: Empirical evidence (2018, unknown): “Some have dealt with the econometric methodology employed to estimate the conditional variance (e.g., Glosten et al. (1993) and Harvey (2001)) while others have proposed alternative risk measures (e.g., Ghysels et al. (2005)).”
A MIDAS Approach to Modeling First and Second Moment Dynamics (2016, unknown): “These include the exponential Almon lag of (Ghysels et al. (2005), Andreou et al. (2013)) B (k; θ) = e θ 1 k+θ 2 k 2 +...+θpk p K i=1 e θ 1 i+θ 2 i 2 +...+θpi p , and the normalized Beta function of Ghysels et al. (2007) B (k; θ) = k−1 K−1 θ 1 −1 1 − k−1 K−1 θ 2 −1 K i=1 i−1 K−1 θ 1 −1 1 − i−1 K−1…”
Risk, Uncertainty, and Expected Returns (2011, unknown): “…do provide evidence supporting a positive and signiﬁcant relation between expected return and risk (e.g., Bollerslev, Engle, and Wooldridge (1988), Ghysels, Santa-Clara, and Valkanov (2005), Guo and Whitelaw (2006), Guo and Savickas (2006), Lundblad (2007), Bali (2008), and Bali and Engle…”