Econometrics and Applied Micro Seminar
Baxter B125
On the Long Run Volatility of Stocks
Carlos Carvalho,
Associate Professor of Statistics,
McCombs School of Business,
The University of Texas at Austin,
In this paper we investigate whether or not the conventional wisdom that stocks are more attractive for long horizon investors hold. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns for different models and prior specifications and conclude, that stocks are indeed less volatile in the long run. Part of the developments include an extension of the modeling framework to incorporate time varying volatilities and covariances in a constrained prior information set up.
For more information, please contact Sheryl Cobb by phone at x4220 or by email at [email protected].
Event Series
Econometrics and Applied Micro Seminar