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首页> 外文期刊>Journal of Economic Dynamics and Control >The risk return relationship: Evidence from index returns and realised variances
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The risk return relationship: Evidence from index returns and realised variances

机译：风险收益关系：来自指数收益和已实现方差的证据

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摘要

This paper provides new evidence on the risk return relationship by jointly analysing index return and realised variance (RV) series. It is argued that the contemporaneous correlation (CC) between the return and RV, which has been largely overlooked in the literature, is a crucial component in the empirical risk return relationship. Based on daily and weekly time series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is argued that the empirical risk return relationship is primarily shaped by the CC and the vastly-different autocorrelation structures of the return and RV. (C) 2019 Elsevier B.V. All rights reserved.
机译：本文通过共同分析指标收益率和已实现方差（RV）序列，为风险收益率关系提供了新的证据。有人认为，收益率和RV之间的同期相关性（CC）在经验风险收益率关系中是至关重要的，这在文献中已被大大忽略。基于来自21个国际市场指数的每日和每周时间序列，研究结果支持对风险溢价，波动率反馈和统计平衡的预测。但是，对于短期记忆波动成分风险溢价，几乎没有发现支持。有人认为，经验风险收益率关系主要由CC和收益率与RV的自相关结构差异很大。 （C）2019 Elsevier B.V.保留所有权利。

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