Theoretical Relations Between Risk Premiums and Conditional Variances
Bibliographic Data
| ID | 19419306 |
|---|---|
| Authors | David K Backus, David Backus (New York University), Allan W Gregory (Queen's University) |
| Year | 1993 |
| Volume | 11 |
| Issue | 2 |
| Pages | 177-185 |
| Publication date | 1993-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1993.10509946 |
| OpenAlex | W2068316529 |
| Language | EN |
| Citations received | 5 |
| References cited | 37 |
Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroscedasticity (ARCH)-in-mean, attempt to exploit a relation between risk premiums and conditional variances or covariances of asset returns. We examine this relation in numerical versions of a dynamic asset-pricing theory and show that it can be increasing, decreasing, flat, or nonmonotonic. Its shape depends on both the preferences of the representative agent and the stochastic structure of the economy. Without additional structure, the theory does not provide either a general foundation for ARCH-in-mean specifications or a simple interpretation of their parameters
Arch · Autoregressive conditional heteroskedasticity · Autoregressive model · Capital asset pricing model · Conditional expectation · Conditional variance · Econometrics · Economics · Heteroscedasticity · Risk premium · Complex Systems and Time Series Analysis · Computer Science · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics
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Estimating Time Varying Risk Premia in the Term Structure
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A Capital Asset Pricing Model with Time-Varying Covariances
Habit Formation
| Unique citing works | 5 |
|---|---|
| Citations per year | 0,22 |
| Citation span | 2003 - 2019 (17) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 2 |