Theoretical Relations between Risk Premiums and Conditional Variances
- 1 April 1993
- journal article
- Published by JSTOR in Journal of Business & Economic Statistics
- Vol. 11 (2) , 177
- https://doi.org/10.2307/1391369
Abstract
Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroscedasticity (ARCH)-in-mean, attempt to exploit a relation...Keywords
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