The structural stability of a one-day risk premium in view of the recent financial crisis

Krzysztof Drachal

The aim of this research is to analyze a short-term risk premium in Poland between 2005 and 2015. In particular one-day periods are considered. It is studies whether the same GARCH type model can be applied for the whole period, or whether the estimated parameters differ significantly for selected sub-periods.

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Year of publication:	2015
Authors:	Drachal, Krzysztof
Published in:	Expert journal of economics. - Sibiu : Sprint Investify, ISSN 2359-7704, ZDB-ID 2758887-7. - Vol. 3.2015, 2, p. 136-142
Subject:	financial crisis \| GARCH \| risk premium \| structural stability \| Finanzkrise \| Financial crisis \| Risikoprämie \| Risk premium \| ARCH-Modell \| ARCH model \| Theorie \| Theory

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Classification:	C22 - Time-Series Models ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

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