Muller, Gernot; Durand, Robert; Maller, Ross
We analysed daily returns of the CRSP value weighted and equally weighted indices over 1953-2007 in order to test for Merton's theorised relationship between risk and return. Like some previous studies we used a GARCH stochastic volatility approach, employing not only traditional discrete time GARCH models but also using a COGARCH - a newly developed continuous-time GARCH model which allows for a rigorous analysis of unequally spaced data. When a risk-return relationship symmetric to positive...[Show more]
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