文章基本信息

标题：Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities in the UK
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作者：Renatas Kizys ; Peter Spencer
期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2008
卷号：2
期号：1
页码：50-77
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：This paper uses the exponential GARCH-in-mean mo del to analyse the relationship between the equityrisk premium and macroeconomic volatility. This premium depends upon conditional volatility, whichis significantly a.ected by the long bond yield, acting as a proxy for the underlying rate of in.ation
关键词：Asset pricing; risk premium; macroeconomic volatility; stochastic discount factor mo del;multivariate EGARCH-M model.