GARCH-M ESTIMATES OF VARIABLE RISK PREMIA FOR 180-DAY AUSTRALIAN BANKBILLS

Citation
Ad. Mcdonald et al., GARCH-M ESTIMATES OF VARIABLE RISK PREMIA FOR 180-DAY AUSTRALIAN BANKBILLS, Economic record, 69(204), 1993, pp. 10-19
Citations number
26
Categorie Soggetti
Economics
Journal title
ISSN journal
00130249
Volume
69
Issue
204
Year of publication
1993
Pages
10 - 19
Database
ISI
SICI code
0013-0249(1993)69:204<10:GEOVRP>2.0.ZU;2-H
Abstract
Under the assumption of rational expectations and constant absolute ri sk aversion, risk premia are estimated for 180-day Australian bank bil ls. GARCH-M parameter estimates support the view that the term premium is made up of a constant component and a variable risk premium