Dias, G.F. (2017) The time-varying GARCH-in-mean model. Economics Letters, 157. pp. 129-132. ISSN 0165-1765
Abstract
I propose an estimation strategy for the stochastic time-varying risk premium parameter in the context of a time-varying GARCH-in-mean (TVGARCH-in-mean) model. A Monte Carlo study shows that the proposed algorithm has good finite sample properties. Using monthly excess returns on the CRSP index, I document that the risk premium parameter is indeed time-varying and shows high degree of persistence.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2017 Elsevier. This is an author-produced version of a paper subsequently published in Economics Letters. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/) |
Keywords: | Risk-return tradeoff; Time-varying coefficients; Iterative estimators; GARCH-type models |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 10 Apr 2019 16:04 |
Last Modified: | 10 Apr 2019 22:41 |
Status: | Published |
Publisher: | Elsevier |
Refereed: | Yes |
Identification Number: | 10.1016/j.econlet.2017.06.005 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:144634 |