The risk-return relationship and volatility feedback in South Africa: a comparative analysis of the parametric and nonparametric Bayesian approach

The risk-return relationship and volatility feedback in South Africa: a comparative analysis of the parametric and nonparametric Bayesian approach

This study aimed to investigate the risk-return relationship, provided volatility feedback was taken into account, in the South African market. Volatility feedback, a stronger measure of volatility, was treated as an important source of asymmetry in the investigation of the risk-return relationship....

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Bibliographic Details
Main Author: Nitesha Dwarika
Format: Article
Language:English
Published: AIMS Press 2023-03-01
Series:Quantitative Finance and Economics
Subjects:
risk-return relationship
volatility feedback
bayesian approach
parametric model
nonparametric model
infinite-mixture model
model free
higher moment properties
asymmetry
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2023007?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2023007?viewType=HTML

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