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The persistence in volatility of the US term premium 1970-1986

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  • Tzavalis, Elias
  • Wickens, M. R.

Abstract

This paper examines the persistence of the volatility of the risk premia for excess holding period returns of the term structure using a GARCH-M model of the conditional variance. The finding of a high degree of persistance cannot be sustained once allowance is made for a structural break in the unconditional variance caused by a change in the operation of US monetary policy during 1979-1982.

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File URL: http://www.sciencedirect.com/science/article/B6V84-3YVCYR0-7/2/4a9a53def52df9389ccc3a49b7743372
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 49 (1995)
Issue (Month): 4 (October)
Pages: 381-389

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Handle: RePEc:eee:ecolet:v:49:y:1995:i:4:p:381-389

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Web page: http://www.elsevier.com/locate/ecolet

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Cited by:
  1. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series 09-02, Luxembourg School of Finance, University of Luxembourg.
  2. WenShwo Fang & Stephen M. Miller, 2008. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers 2008-47, University of Connecticut, Department of Economics.

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