政府债券市场风险收益的权衡

IF 3.2 Q1 BUSINESS, FINANCE

Quantitative Finance and Economics Pub Date : 2023-01-01 DOI:10.3934/qfe.2023013

C. Christiansen, Christos S. Savva

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引用次数: 0

摘要

我们分析了国际(法国、德国、荷兰、西班牙、英国和美国)政府债券市场和美国股票市场的风险回报权衡。我们通过Savva和Theodossiou(2018)中定义的高阶矩(波动性、偏度和超额峰度)来衡量风险。当考虑收益和风险之间的线性关系时，不存在风险-收益权衡。我们分别考虑由阈值回归定义的好波动率和坏波动率，并发现非线性风险-收益权衡，即对于大滞后收益是负的。

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Government bond market risk-return trade-off

We analyze the risk-return trade-off for international (France, Germany, Netherlands, Spain, UK, and US) government bond markets and the US stock market. We measure risk by the higher order moments (volatility, skewness, and excess kurtosis) as they are defined in Savva and Theodossiou (2018). There is no risk-return trade-off when considering a linear relationship between returns and risk. We consider good and bad volatility separately as defined by threshold regressions and find non-linear risk-return trade-off, that is negative for large lagged returns.

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来源期刊

Quantitative Finance and Economics BUSINESS, FINANCE-

CiteScore

0.30

自引率

1.90%

发文量

审稿时长

12 weeks