Chantapacdepong, Pornpinun - School of Economics, Finance and Management, University … - 2007
period of 1994-2006. The measure of risk premia is based on the ARCH-in-Mean (ARCH-M) model introduced by Engle, Lilien and …
measure of risk premia is based on the ARCH-in-Mean (ARCH-M) model
introduced by Engle, Lilien and Robins (1987). We show that … period of 1994-2006. The risk premia measure
is based on the ARCH-in-Mean (ARCH-M) model introduced by Engle, Lilien
and …