Estimating time varying risk premia in the term structure : the ARCH-M model
by Robert F. Engle, David M. Lilien, and Russell P. Robins
| Year of publication: |
1987
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|---|---|
| Authors: | Engle, Robert F. |
| Other Persons: | Lilien, David M. (contributor) ; Robins, Russell P. (contributor) |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 55.1987, 2, p. 391-407
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| Subject: | Schätztheorie | Estimation theory | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001020996