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
We investigate the time-variation of the cross-sectional distribution of asymmetric GARCH model para...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
I propose an estimation strategy for the stochastic time-varying risk premium parameter in the conte...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
We present a novel GARCH model that accounts for time varying, state dependent, persistence in the v...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
Autoregressive Conditional Heteroskedasticity (ARCH) models have been applied in modeling the relati...
Material from this paper has been presented at the International Symposium on Econometric Theory and...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
This paper examines the performance of APT and CAPM across time, considering the acquired betas fro...
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the va...
For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their conseq...
We investigate the time-variation of the cross-sectional distribution of asymmetric GARCH model para...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
I propose an estimation strategy for the stochastic time-varying risk premium parameter in the conte...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
We present a novel GARCH model that accounts for time varying, state dependent, persistence in the v...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulat...
Autoregressive Conditional Heteroskedasticity (ARCH) models have been applied in modeling the relati...
Material from this paper has been presented at the International Symposium on Econometric Theory and...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
This paper examines the performance of APT and CAPM across time, considering the acquired betas fro...
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the va...
For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their conseq...
We investigate the time-variation of the cross-sectional distribution of asymmetric GARCH model para...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a C...
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