Bond Risk Premia and Restrictions on Risk Prices

Autor:	Constantino Hevia, Martin Sola
Jazyk:	angličtina
Rok vydání:	2018
Předmět:	Bond Risk premium lcsh:Risk in industry. Risk management Term (time) lcsh:HD61 bond risk premia risk prices lcsh:Finance lcsh:HG1-9999 Econometrics Economics ddc:330 affine term structure models Affine transformation G12 E43
Zdroj:	Journal of Risk and Financial Management, Vol 11, Iss 4, p 60 (2018) Journal of Risk and Financial Management Volume 11 Issue 4
ISSN:	1911-8074
Popis:	Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk premiums.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9cf0e8a13cd79948b2bbaf4427a5af01 http://www.mdpi.com/1911-8074/11/4/60 Zobrazit plný text záznamu