Theoretical Relations between Risk Premiums and Conditional Variances
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 dynami...
| Veröffentlicht in: | Journal of Business & Economic Statistics. - American Statistical Association, 1983. - 11(1993), 2, Seite 177-185 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1993
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| Zugriff auf das übergeordnete Werk: | Journal of Business & Economic Statistics |
| Schlagworte: | ARCH-in-mean Bond and stock returns Dynamic asset-pricing theory Economics Mathematics Business |