1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/30726
DC FieldValueLanguage
dc.contributor.authorChristiansen, Charlotte-
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2023-11-01T09:08:38Z-
dc.date.available2023-11-01T09:08:38Z-
dc.date.issued2023-01-01-
dc.identifier.citationQuantitative Finance and Economics, 2023, vol. 7, Issue 2, Pages 249 - 260en_US
dc.identifier.issn25730134-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/30726-
dc.description.abstractWe 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.en_US
dc.language.isoenen_US
dc.relation.ispartofQuantitative Finance and Economicsen_US
dc.rights© the Author(s)en_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectbad volatilityen_US
dc.subjectgood volatilityen_US
dc.subjectgovernment bond marketsen_US
dc.subjectrisk-return trade-offen_US
dc.titleGovernment bond market risk-return trade-offen_US
dc.typeArticleen_US
dc.collaborationAarhus Universityen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryDenmarken_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.3934/QFE.2023013en_US
dc.identifier.scopus2-s2.0-85170655585-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85170655585-
dc.relation.issue2en_US
dc.relation.volume7en_US
cut.common.academicyear2022-2023en_US
dc.identifier.spage249en_US
dc.identifier.epage260en_US
item.fulltextNo Fulltext-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.openairetypearticle-
item.languageiso639-1en-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
Appears in Collections:Άρθρα/Articles
CORE Recommender
Show simple item record

Page view(s)

87
Last Week
3
Last month
12
checked on May 12, 2024

Google ScholarTM

Check

Altmetric


This item is licensed under a Creative Commons License Creative Commons