The non-linear trade-off between return and risk: a regime-switching multi-factor framework
Year of publication: |
2014-11-06
|
---|---|
Authors: | Cotter, John ; Salvador, Enrique |
Institutions: | Geary Institute, University College Dublin |
Subject: | Non-linear risk-return trade-off | Pro-cyclical risk aversion | Regime-Switching GARCH | multi-factor model | Risk premium |
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