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Another look about the evolution of the risk premium: a VAR-GARCH-M model

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  • Iglesias, Emma M.
  • Phillips, Garry D. A.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 20 (2003)
Issue (Month): 4 (July)
Pages: 777-789

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Handle: RePEc:eee:ecmode:v:20:y:2003:i:4:p:777-789

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Web page: http://www.elsevier.com/locate/inca/30411

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References

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  1. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
  2. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  3. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
  4. Gianluigi Pelloni & Wolfgang Polasek, 2000. "Macroeconomic Effects Of Sectoral Shocks In Us, Uk And Germany: A Bvar-Garch-M Approach," Computing in Economics and Finance 2000 253, Society for Computational Economics.
  5. אסתר טולידנו, 1991. "מקבלי דמי אבטלה בשנת 1990," Working Papers 514, National Insurance Institute of Israel.
  6. Lei Ren & Wolfgang Polasek, 2000. "A Multivariate Garch Model For Exchange Rates In The Us, Germany And Japan," Computing in Economics and Finance 2000 223, Society for Computational Economics.
  7. דבי עובדיה, 1991. "קו חירום לנשים מוכות," Working Papers 203, National Insurance Institute of Israel.
  8. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
  9. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
  10. רבקה פריאור, 1991. "גמלאות נפגעי עבודה, 1989," Working Papers 496, National Insurance Institute of Israel.
  11. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  12. Engle, Robert F. & Granger, C. W. J. & Kraft, Dennis, 1984. "Combining competing forecasts of inflation using a bivariate arch model," Journal of Economic Dynamics and Control, Elsevier, vol. 8(2), pages 151-165, November.
  13. יעקב צדקה, 1991. "משפחתונים לקשישים בטבריה," Working Papers 80, National Insurance Institute of Israel.
  14. אסתר טולדנו, 1997. "מקבלי דמי אבטלה בשנת 1996," Working Papers 521, National Insurance Institute of Israel.
  15. Kaminsky, Graciela & Peruga, Rodrigo, 1990. "Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?," Journal of International Economics, Elsevier, vol. 28(1-2), pages 47-70, February.
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Citations

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Cited by:
  1. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
  2. Sun, Xiaolei & Li, Jianping & Tang, Ling & Wu, Dengsheng, 2012. "Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies," Economic Modelling, Elsevier, vol. 29(6), pages 2494-2503.
  3. Maixé-Altés, J. Carles & Iglesias, Emma M., 2009. "Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885)," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 496-521, April.

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