| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054218 | Economic Modelling | 2013 | 13 Pages |
Abstract
⺠We model the one period and infinite time horizon US equity risk premia. ⺠The equilibrium risk premia depend on expected variances and the prices of risk. ⺠The expected variances of stock returns depend on past observed variances. ⺠The horizon-dependent prices of risk are estimated using the Kalman filter. ⺠The market risk premia adjust towards their equilibrium values.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Georges Prat,