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Fruet Dias, Gustavo 
ORCID: https://orcid.org/0000-0001-6428-5074
(2017)
The time-varying GARCH-in-mean model.
Economics Letters, 157.
pp. 129-132.
ISSN 0165-1765
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Abstract
I propose an estimation strategy for the stochastic time-varying risk premium parameter in the context of a time-varying GARCH-in-mean (TVGARCH-in-mean) model. A Monte Carlo study shows that the proposed algorithm has good finite sample properties. Using monthly excess returns on the CRSP index, I document that the risk premium parameter is indeed time-varying and shows high degree of persistence.
| Item Type: | Article |
|---|---|
| Faculty \ School: | Faculty of Social Sciences > School of Economics |
| UEA Research Groups: | Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance Faculty of Social Sciences > Research Groups > Industrial Economics |
| Depositing User: | LivePure Connector |
| Date Deposited: | 30 Sep 2019 09:30 |
| Last Modified: | 14 May 2023 00:07 |
| URI: | https://ueaeprints.uea.ac.uk/id/eprint/72418 |
| DOI: | 10.1016/j.econlet.2017.06.005 |
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