Determinants of the time varying risk premia
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More about this item
Keywords
ARCH-in-Mean; term structure of interest rates; risk premium; dynamic panel regression analysis.;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2007-08-14 (Corporate Finance)
- NEP-FMK-2007-08-14 (Financial Markets)
- NEP-MAC-2007-08-14 (Macroeconomics)
- NEP-RMG-2007-08-14 (Risk Management)
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