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Is the relative risk aversion parameter constant over time? A multi-country study

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  • Samarjit Das

    ()

  • Nityananda Sarkar

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File URL: http://hdl.handle.net/10.1007/s00181-009-0281-y
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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 38 (2010)
Issue (Month): 3 (June)
Pages: 605-617

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Handle: RePEc:spr:empeco:v:38:y:2010:i:3:p:605-617
DOI: 10.1007/s00181-009-0281-y
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/econometrics/journal/181/PS2

Keywords: Bootstrap; Information matrix test; Parameter constancy; Relative risk aversion and ARCH-M; C10; C15;

Find related papers by JEL classification:

  • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
  • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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  1. 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 116-131, February.
  2. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
  3. Taylor, Larry W., 1987. "The size bias of White's information matrix test," Economics Letters, Elsevier, vol. 24(1), pages 63-67.
  4. Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 203-214, June.
  5. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  6. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-872, July.
  7. 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.
  8. Bera, A.K. & Ullah, A., 1991. "Rao's Score Test in Econometrics," Papers 9143, Tilburg - Center for Economic Research.
  9. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  10. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
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Cited by:

  1. Cerqueti, Roy & Coppier, Raffaella, 2011. "Economic growth, corruption and tax evasion," Economic Modelling, Elsevier, vol. 28(1-2), pages 489-500, January.
  2. Baiardi, Donatella & Manera, Matteo & Menegatti, Mario, 2013. "Consumption and precautionary saving: An empirical analysis under both financial and environmental risks," Economic Modelling, Elsevier, vol. 30(C), pages 157-166.
  3. Nagayasu, Jun, 2012. "The threshold consumption correlation-based approach to international capital mobility: Evidence from advanced and developing countries," Structural Change and Economic Dynamics, Elsevier, vol. 23(3), pages 256-263.
  4. Liu, Dehong & Gu, Hongmei & Lung, Peter, 2016. "The equity mispricing: Evidence from China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 211-223.

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