Big swings in the data and perceived changes in the risk premia
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More about this item
Keywords
Non-diversifiable Risk Premium; Markov Chain; Structural Breaks.;All these keywords.
JEL classification:
- G00 - Financial Economics - - General - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2025-05-12 (Financial Markets)
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