A survey on risk-return analysis

EconWPA, Finance 01/2004;
Source: RePEc

ABSTRACT This paper presents a stock-flow consistent macroeconomic model in which financial fragility in firm and household sectors evolves endogenously through the interaction between real and financial sectors. Changes in firms' and households' financial practices produce long waves. The Hopf bifurcation theorem is applied to clarify the conditions for the existence of limit cycles, and simulations illustrate stable limit cycles. The long waves are characterized by periodic economic crises following long expansions. Short cycles, generated by the interaction between effective demand and labor market dynamics, fluctuate around the long waves.

  • Journal of Financial and Quantitative Analysis 06/1971; 6(03):909-912. · 1.77 Impact Factor
  • [Show abstract] [Hide abstract]
    ABSTRACT: In this paper we consider a class of dynamic models in which both the conditional mean and the conditional variance are endogenous stepwise functions. We first consider the probabilistic properties of these models: stationarity conditions, leptokurtic effect, linear representation, optimal prediction. In this first part most results are based on Markov chains theory. Then we derive statistical properties of this class of models; pseudo-maximum likelihood estimators, conditional homoscedasticity tests, tests of weak or strong white noise, CAPM test, factors determination, ARCH-M effects. We also discuss the introduction of exogenous variables and the case of multiple lags. Finally, an application to the Paris Stock Index is proposed.
    Journal of Econometrics 02/1991; · 1.71 Impact Factor
  • Source
    The Journal of Finance 02/1980; 35(4):897-913. · 4.22 Impact Factor

Full-text (2 Sources)

Available from
Jun 28, 2014