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

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

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File URL: http://www.sciencedirect.com/science/article/B6VB1-45PK3B4-1/2/9f3f265224d9deb1e2bc768cdb36f87c
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. רבקה פריאור, 1991. "גמלאות נפגעי עבודה, 1989," Working Papers 496, National Insurance Institute of Israel.
  2. דבי עובדיה, 1991. "קו חירום לנשים מוכות," Working Papers 203, National Insurance Institute of Israel.
  3. 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.
  4. 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.
  5. 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.
  6. אסתר טולדנו, 1997. "מקבלי דמי אבטלה בשנת 1996," Working Papers 521, National Insurance Institute of Israel.
  7. 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.
  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. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  10. אסתר טולידנו, 1991. "מקבלי דמי אבטלה בשנת 1990," Working Papers 514, National Insurance Institute of Israel.
  11. יעקב צדקה, 1991. "משפחתונים לקשישים בטבריה," Working Papers 80, National Insurance Institute of Israel.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
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