Risky Relations - A study of the relationship between expected stock returns and volatility on the international market
This econometric study examines the relationship between expected returns and volatility in ten industrialized countries. It includes three models; GARCH-M, EGARCH-M and the PARCH-M model. Furthermore, it investigates if the results change with the use of several time intervals, different data frequency and the inclusion of macroeconomic variables into the models. The results provide evidence that