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Non-Linear Trade Off between Risk and Return: A Regime-Switching Multi-Factor Framework

https://doi.org/10.2139/ssrn.1794183
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The relationship between risk and expected return in Europe
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There is a risk-return trade-off after all
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The risk return tradeoff in the long run: 1836–2003
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Multivariate Simultaneous Generalized ARCH
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MIDAS Regressions: Further Results and New Directions
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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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Estimating Time-Varying Risk Premia in the Term Structure: the ARCH-M Model
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Corporate Ownership Around the World
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Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach
inferredcites →https://doi.org/10.1111/1540-6261.00555openalex-extracted
Idiosyncratic Risk Matters!
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
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Does Idiosyncratic Risk Really Matter?
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Corporate Ownership Around the World
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Investigating ICAPM with Dynamic Conditional Correlations
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Re-Examining the Risk-Return Relationship: The Influence of Financial Crisis (2007-2009)
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Forecasting Stock Market Volatility with Regime-Switching GARCH Models
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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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Stock Returns and Volatility
inferredcites →https://doi.org/10.2307/2977928openalex-extracted
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Risk Premia and the Dynamic Covariance between Stock and Bond Returns
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Does Idiosyncratic Risk Really Matter?
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Investor sentiment and stock returns: Some international evidence
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Uncovering the Risk-Return Relation in the Stock Market
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