Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time-varying Transition Probability Models-Reference-Cited by-同舟云学术

Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time-varying Transition Probability Models

Published:2015-12-21 Issue:5 Volume:22 Page:749-796
ISSN:1354-7798
Container-title:European Financial Management
language:en
Short-container-title:Eur Financial Management

Author:

Chen Cathy Yi-Hsuan¹²,Chiang Thomas C.³

Affiliation:

1. Department of Finance; Chung Hua University; Hsinchu Taiwan

2. Ladislaus von Bortkiewicz Chair of Statistics; Center for Applied Statistics and Economics Humboldt-Universität zu Berlin; Germany

3. Department of Finance; Drexel University; Philadelphia PA USA

Publisher

Wiley

Subject

General Economics, Econometrics and Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/eufm.12079/fullpdf

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