David Edward Runkle
University of Minnesota
1 paper in the Anchorcite directory, published in 1993, cited 8,781 times in total.
Research topics
- Financial Markets and Investment Strategies · 1 paper
- Financial Risk and Volatility Modeling · 1 paper
- Market Dynamics and Volatility · 1 paper
Frequent co-authors
- Lawrence R. Glosten · 1 paper
- Ravi Jagannathan · 1 paper
Papers
- On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on StocksThe Journal of Finance · 1993 · 8,781 citations
ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different…
Metadata from OpenAlex (CC0).