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CAPM 1 Erwartungsbildung 1 Expectation formation 1 Risikoprämie 1 Risk premium 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1 Yield curve 1 Zinsstruktur 1
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English 1
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Guimaraes, Rodrigo 1
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previous version appeared as Bank of England Working Paper 1
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Fool's Errand? Robust Identification of Risk Premia and Expectations in Asset Prices
Guimaraes, Rodrigo - 2016
In this paper I show that the difficulty in estimating unconditional means from time series data alone is the cause for the lack of robustness in empirical estimates of the workhorse model in macro-finance. Using US and UK yield curve data and an extensive Monte Carlo study I show that using...
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