News and expected returns in East Asian equity markets: The RV-GARCHM model

Martin, Vance L., Tang, Chrismin and Yao, Wenying 2018, News and expected returns in East Asian equity markets: The RV-GARCHM model, Journal of Asian economics, pp. 1-34, doi: 10.1016/j.asieco.2018.06.003.

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Title News and expected returns in East Asian equity markets: The RV-GARCHM model
Author(s) Martin, Vance L.
Tang, Chrismin
Yao, WenyingORCID iD for Yao, Wenying orcid.org/0000-0001-6368-0160
Journal name Journal of Asian economics
Start page 1
End page 34
Total pages 34
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2018-06
ISSN 1049-0078
Keyword(s) Relative risk aversion
Realized GARCH
Realized volatility
Risk-return trade-off
Mean impact curve
Notes In press, Accepted Manuscript
Language eng
DOI 10.1016/j.asieco.2018.06.003
Field of Research 1499 Other Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2018, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30109729

Document type: Journal Article
Collection: Department of Economics
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