The time-varying GARCH-in-mean model

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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.
Original languageEnglish
Pages (from-to)129-132
Number of pages4
JournalEconomics Letters
Volume157
Early online date12 Jun 2017
DOIs
Publication statusPublished - 1 Aug 2017

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