Open AccessOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
Author(s) -
Lawrence R. Glosten,
Ravi Jagannathan,
David E. Runkle
Publication year - 1993
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.2307/2329067
Subject(s) - volatility (finance) , conditional variance , autoregressive conditional heteroskedasticity , econometrics , forward volatility , economics , conditional expectation , implied volatility , volatility risk premium , financial economics
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