About: Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

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rdf:type	Item
description	article (en) ലേഖനം (ml) wetenschappelijk artikel (nl) наукова стаття, опублікована в березні 1987 (uk) article scientifique publié en 1987 (fr)
publication date	wds:Q56474511-3BB0EC47-7D0E-4A39-BB5E-4F5677352EE1
publication date	1987-03-01 00:00:00Z (xsd:dateTime)
author name string	wds:Q56474511-A9F452E7-E172-49B7-99CE-7B0C0FCEAA88 wds:Q56474511-BF3F3B2D-B4EA-4838-945F-1386014A1F2E wds:Q56474511-D7EF3345-4754-414C-9FEF-B44D24B293A2
author name string	Robert F. Engle Russell P. Robins David M. Lilien
rdfs:label	Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (en) Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (nl)
skos:prefLabel	Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (en) Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (nl)
name	Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (en) Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (nl)
title	wds:Q56474511-F4759EC2-F038-452C-A6D6-F0FA18C12DDC
title	Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (en)
page(s)	wds:Q56474511-0D68229E-A297-4E03-B4FA-A6F59E05E988
page(s)	391
instance of	wds:Q56474511-CF8DB797-2392-49BF-B5F7-8BEA3DBF13F0
instance of	scholarly article
published in	wds:Q56474511-8CD8762E-E006-4262-98EF-8E8C88CE3046
published in	Econometrica
issue	wds:Q56474511-344BA818-05F6-4C47-AA1A-F130096F6376
volume	wds:Q56474511-23F92304-719F-4502-83F8-D08056ECF533
issue	2
volume	55
DOI	wds:Q56474511-19D37D45-D129-4ECA-8F35-0DAD7522C41C
DOI	http://dx.doi.org/10.2307/1913242
DOI	10.2307/1913242
ResearchGate publication ID	wds:Q56474511-7EA57BCF-B23D-498A-995A-10299AB283AF
ResearchGate publication ID	4814948
JSTOR article ID	wds:Q56474511-52677649-8056-44CF-A262-AB6F9026BE61
JSTOR article ID	1913242
is about of	https://www.wikidata.org/wiki/Special:EntityData/Q56474511
is cites work of	Predictors of indoor absolute humidity and estimated effects on influenza virus survival in grade schools ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING Market efficiency in agricultural futures markets Volatility and time-varying risk premiums in the stock market Yield spreads as predictors of industrial production: expectations on short rates or term premia? Aggregate uncertainty, investment and asymmetric adjustment in the UK manufacturing sector Stock return process and expected depreciation over the Asian financial crisis Liberalization and food price distributions: ARCH-M evidence from Madagascar Stochastic volatility duration models Exogenous tax changes and interest rates: testing for Ricardian equivalence using an efficient markets model Forecasting Performance of Lumber Futures Prices Conventional and advanced time series estimation: application to the Australian and New Zealand Intensive Care Society (ANZICS) adult patient database, 1993-2006. Conditional risk and return in Asian emerging markets: evidence from the banking sector The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms Inflation bias after the Euro: evidence from the UK and Italy THE IMPACT OF REAL EXCHANGE RATE CHANGES ON SOUTH AFRICAN AGRICULTURAL EXPORTS: AN ERROR CORRECTION MODEL APPROACH Can the GQARCH Latent Factor Model Improve the Prediction Performance of Multivariate Financial Time Series? Volatility and trading activity in Short Sterling futures Forward-premium puzzle: is it time to abandon the usual regression? Exchange rate depreciation and exports: the case of Singapore revisited The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures market’s returns: the case of India Calibration of the Volatility in Option Pricing Using the Total Variation Regularization Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa On the number of common unit roots in the term structure of interest rates The Saturday effect: an interesting anomaly in the Saudi stock market Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management The Profile Likelihood Estimation for Single-Index ARCH(p)-M Model Analysing the risk premium in the Italian stock market: ARCH-M models versus non-parametric models A test for the presence of conditional heteroskedasticity within arch-m framework EMU-related news and financial markets in the Czech Republic, Hungary and Poland Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency Australian financial firms’ exposures to the level, slope, and curvature of the interest rate term structure Rolling-sampled parameters of ARCH and Levy-stable models Rationality of inflation–output forecasts of MMS survey: international evidence
is cites work of	wds:Q58283748-D7601457-A320-4DDC-A0D8-28C973ED2AF5 wds:Q56602075-DE3E0E2B-47DC-46CD-9295-7719F1F3A8FC wds:Q58263857-05C1EF8B-423A-47AC-9901-E9A607CAF53A wds:Q58278617-71684386-82EB-4EFA-8D39-4230279D0FDA wds:Q59143448-4A503FA6-4D6B-497E-B5AC-AFC2FAC874A8 wds:Q34577365-16AE443F-B8A2-4042-8E1D-AD23187B4BB1 wds:Q58303906-BED2FD21-02C5-45B9-9D77-A091944DE31C wds:Q58273995-9538FA54-2E5A-49E0-BEE6-F5DC93C699B3 wds:Q58255240-75443DAA-B7D6-45D5-B256-D9EA79E3141D wds:Q58189465-CA63E8CC-8A6B-4C86-9A28-F601B66B53F7 wds:Q58117060-767F9990-1307-4F43-91B5-9888013C1A0A wds:Q58135553-E472AA5A-C1AB-484D-9C20-E79AAB333271 wds:Q58242217-2F5CEDBB-D737-471B-A0C1-588E45E2DC1D wds:Q59051791-996D7132-5000-4E29-9522-3255ED03BBF0 wds:Q58265192-D61A97A0-8956-4347-92E9-161256BAFA49 wds:Q58266177-7C1FFF3B-679E-4A73-93E3-0003E26DAC82 wds:Q58592785-B78F6EC0-32F0-4B1E-8C56-3C7995CA9DB1 wds:Q58265180-620F3CF5-60BE-4CFC-97B8-2CEF87ED3233 wds:Q57944518-895699DF-F20A-4699-B10A-07270027C7EE wds:Q51151480-C2F0CEC5-18F6-4B65-9CAD-1C09382CD4F9 wds:Q58186773-EB633FA0-64A9-4908-B941-B955A2A598E5 wds:Q58155107-49B6484F-9DCF-4AE1-A426-166AC83D1657 wds:Q59063651-EC1CE367-6C5A-440A-8E3E-5A95AE03C998 wds:Q58173216-80B318CB-0CAC-4985-AC2F-3407FFD7366D wds:Q56806319-F1C25D27-1EAB-421B-BA1C-8E2347335B68

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