首页    期刊浏览 2024年12月01日 星期日
登录注册

文章基本信息

  • 标题:The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis
  • 本地全文:下载
  • 作者:Krzysztof DRACHAL
  • 期刊名称:Expert Journal of Economics
  • 印刷版ISSN:2359-7704
  • 出版年度:2015
  • 卷号:3
  • 期号:2
  • 页码:136-142
  • 语种:English
  • 出版社:Sprint Investify
  • 摘要:The aim of this research is to analyze a short-term risk premium in Poland between 2005 and 2015. In particular one-day periods are considered. It is studies whether the same GARCH type model can be applied for the whole period, or whether the estimated parameters differ significantly for selected sub-periods.
  • 关键词:financial crisis; GARCH; risk premium; structural stability
国家哲学社会科学文献中心版权所有