Skip navigation
Skip navigation
Open Research will be down for maintenance between 8:00 and 8:15 am on Tuesday, December 1 2020.

The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis

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]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Journal of Empirical Finance
DOI: 10.1016/j.jempfin.2010.11.003


File Description SizeFormat Image
01_Muller_The_risk-return_tradeoff:_A_2011.pdf450.6 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator