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Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time‐varying Transition Probability Models |
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| Authors: | Cathy Yi‐Hsuan Chen Thomas C Chiang |
| Institution: | 1. Department of Finance, Chung Hua University, Hsinchu, Taiwan;2. Ladislaus von Bortkiewicz Chair of Statistics, Center for Applied Statistics and Economics Humboldt‐Universit?t zu Berlin, Germany;3. Department of Finance, Drexel University, Philadelphia, PA, USA |
| Abstract: | |
| Keywords: | downside risk Value‐at‐Risk transition probability model risk– return relationship |