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Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Abstract
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of LM diagnostic tests reveals the robustness of the model to various specification changes such as alternative volatility or ARCH measures, regime changes, and interest rate formulations. The model explains and interprets the recent econometric failures of the expectations hypothesis of the term structure. Copyright 1987 by The Econometric Society.
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Citations
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Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
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Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Campbell, J. Y., & Hentschel, L. (1992) · Journal of Financial Economics · doi:10.1016/0304-405x(92)90037-x · Cited by 1,926
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Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
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Nelson, D. B., & Cao, C. Q. (1992) · Journal of Business & Economic Statistics · doi:10.1080/07350015.1992.10509902 · Cited by 608
Metadata
- Authors
- Engle, R. F., Lilien, D. M., & Robins, R. P.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1987-03
- Volume
- 55
- Issue
- 2
- Pages
- 391
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2044117118
- Cited by
- 2,469
- References
- 1
- FWCI
- 76.35
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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