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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| Format: | Article |
| Language: | English |
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AIMS Press
2023-03-01
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| Series: | Quantitative Finance and Economics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2023007?viewType=HTML |