Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
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DOI: https://doi.org/10.1080/07350015.2019.1691564
Note: In: Journal of Business & Economic Statistics - Vol. To appear
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Other versions of this item:
- Christian M. Hafner & Dimitra Kyriakopoulou, 2021. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 589-603, March.
- HAFNER Christian, & KYRIAKOPOULOU Dimitra,, 2019. "Exponential-type GARCH models with linear-in-variance risk premium," LIDAM Discussion Papers CORE 2019013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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More about this item
Keywords
EGARCH; GARCH-in-mean; Log-GARCH; Maximum likelihood; Risk premium; Stochastic recurrence equation;All these keywords.
JEL classification:
- C71 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Cooperative Games
- C78 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Bargaining Theory; Matching Theory
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