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  • 标题:Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities in the UK
  • 本地全文:下载
  • 作者:Renatas Kizys ; Peter Spencer
  • 期刊名称:Quantitative and Qualitative Analysis in Social Sciences
  • 印刷版ISSN:1752-8925
  • 出版年度:2008
  • 卷号:2
  • 期号:1
  • 页码:50-77
  • 出版社:Quantitative and Qualitative Analysis in Social Sciences
  • 摘要:This paper uses the exponential GARCH-in-mean mo del to analyse the relationship between the equityrisk premium and macroeconomic volatility. This premium depends upon conditional volatility, whichis significantly a.ected by the long bond yield, acting as a proxy for the underlying rate of in.ation
  • 关键词:Asset pricing; risk premium; macroeconomic volatility; stochastic discount factor mo del;multivariate EGARCH-M model.
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