Veranstaltungen des DIW Berlin/
Events of DIW Berlin

20. Juli 2016

DIW Seminar on Macroeconomics and Econometrics The risk-return relationship: evidence from index return and realised variance series

The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is argued that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation between the return and RV, and the difference in the autocorrelation structures of the return and RV.

Mehr Informationen
Referent/-in
  • Minxian Yang, University of New South Wales

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439