Is there a risk–return trade‐off? Evidence from high‐frequency data

By Turan G. Bali, Lin Peng. 2006

163 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6474b73a956673e4d2a4a60df6e949660d0bf424

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Turan G. Bali
2. George Tauchen
3. Daniela Osterrieder
4. N. Sizova
5. Julia Litvinova
6. Tim Bollerslev
7. V. Todorov
8. Marco Rocco

Citations in the corpus

• Leverage and Volatility Feedback Effects in High-Frequency Data (2006, background): “3 More recent powerful statistical inference based on long return histories or more efficient volatility measures constructed from high-frequency intraday returns by Lundblad (2005), and Bali and Peng (2006) and Ghysels, Santa-Clara, and Valkanov (2005), respectively, do suggest a significant positi”
• Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, background): “been explored by Bali and Peng (2006). 4.”
• THE INTERTEMPORAL RELATION BETWEEN EXPECTED RETURNS AND RISK (2008, background): “Bali and Peng (2006) examine the intertemporal relation between risk and return using high-frequency data.”