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Co-movement in the price of risk of aggregate equity markets

  • Bhar, Ramaprasad
  • Hamori, Shigeyuki

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File URL: http://www.sciencedirect.com/science/article/B6W8Y-4NNN0FN-1/2/ef4888df33b80710a6f0f2e79f4193cc
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Article provided by Elsevier in its journal Economic Systems.

Volume (Year): 31 (2007)
Issue (Month): 3 (September)
Pages: 256-271

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Handle: RePEc:eee:ecosys:v:31:y:2007:i:3:p:256-271
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  1. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, June.
  2. Choudhry, Taufiq, 2002. "The Stochastic Structure of the Time-Varying Beta: Evidence from UK Companies," Manchester School, University of Manchester, vol. 70(6), pages 768-91, December.
  3. P. Silvapulle & C. W. J. Granger, 2001. "Large returns, conditional correlation and portfolio diversification: a value-at-risk approach," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 542-551.
  4. Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004. "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-26, March.
  5. Groenewold, Nicolaas & Fraser, Patricia, 1999. "Time-varying estimates of CAPM betas," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 531-539.
  6. Robert W. Faff & David Hillier & Joseph Hillier, 2000. "Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5&6), pages 523-554.
  7. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  8. C John McDermott & Alasdair Scott, 1999. "Concordance in business cycles," Reserve Bank of New Zealand Discussion Paper Series G99/7, Reserve Bank of New Zealand.
  9. Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 353-364, September.
  10. Christian Jochum, 1999. "Volatility spillovers and the price of risk: Evidence from the Swiss stock market," Empirical Economics, Springer, vol. 24(2), pages 303-322.
  11. Ray Chou & Robert F. Engle & Alex Kane, 1991. "Measuring Risk Aversion From Excess Returns on a Stock Index," NBER Working Papers 3643, National Bureau of Economic Research, Inc.
  12. Paul Cashin & C John McDermott & Alasdair Scott, 1999. "The myth of co-moving commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/9, Reserve Bank of New Zealand.
  13. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
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