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