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150324s1993 xx |||||o 00| ||eng c |
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|a 10.2307/1391369
|2 doi
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|a (DE-627)JST045329842
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|a (JST)1391369
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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1 |
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|a Backus, David K.
|e verfasserin
|4 aut
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|a Theoretical Relations between Risk Premiums and Conditional Variances
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|c 1993
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
|2 rdamedia
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|a Online-Ressource
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|2 rdacarrier
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|a Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroscedasticity (ARCH)-in-mean, attempt to exploit a relation between risk premiums and conditional variances or covariances of asset returns. We examine this relation in numerical versions of a dynamic asset-pricing theory and show that it can be increasing, decreasing, flat, or nonmonotonic. Its shape depends on both the preferences of the representative agent and the stochastic structure of the economy. Without additional structure, the theory does not provide either a general foundation for ARCH-in-mean specifications or a simple interpretation of their parameters.
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|a Copyright 1993 American Statistical Association
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|a ARCH-in-mean
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|a Bond and stock returns
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|a Dynamic asset-pricing theory
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| 650 |
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|a Economics
|x Economic disciplines
|x Financial economics
|x Insurance
|x Insurance expenses
|x Insurance premiums
|x Risk premiums
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical properties
|x Statistical discrepancies
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial analysis
|x Risk management
|x Risk aversion
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Applied economics
|x Economic modeling
|x Economic models
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial management
|x Financial risk
|x Investment risk
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Statistical distributions
|x Distribution functions
|x Probability distributions
|x Mathematical moments
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
|x Financial securities
|x Financial bonds
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| 650 |
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4 |
|a Business
|x Business engineering
|x Business risks
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investment returns
|x Expected returns
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| 655 |
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|a research-article
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| 700 |
1 |
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|a Gregory, Allan W.
|e verfasserin
|4 aut
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| 773 |
0 |
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|i Enthalten in
|t Journal of Business & Economic Statistics
|d American Statistical Association, 1983
|g 11(1993), 2, Seite 177-185
|w (DE-627)327084073
|w (DE-600)2043744-4
|x 07350015
|7 nnns
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| 773 |
1 |
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|g volume:11
|g year:1993
|g number:2
|g pages:177-185
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| 856 |
4 |
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|u https://www.jstor.org/stable/1391369
|3 Volltext
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|u https://doi.org/10.2307/1391369
|3 Volltext
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|a AR
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|d 11
|j 1993
|e 2
|h 177-185
|