Castagnetti, Carolina - In: Applied Financial Economics 14 (2004) 2, pp. 93-104
Two 'reduced-form' GARCH-M models are used to estimate the German swap spreads from a risk premium point of view. The first model makes use of a parametric GARCH in mean model that has been extended to the case of a vector autoregressive process. The second is a semiparametric model where the...