Time-Varying Market Price of Risk and Investor Sentiment: Evidence from a Multivariate GARCH Model

2015 ◽  
Vol 16 (2) ◽  
pp. 105-119 ◽  
Author(s):  
David W. Johnk ◽  
Gökçe Soydemir
Keyword(s):  
Market Price ◽  
Investor Sentiment ◽  
Garch Model ◽  
Multivariate Garch ◽  
Time Varying ◽  
Market Price Of Risk ◽  
Multivariate Garch Model ◽  
Price Of Risk

scholarly journals Is There A Difference Between Domestic And Foreign Risk Premium? The Case Of China Stock Market

2014 ◽  
Vol 30 (5) ◽  
pp. 1287
Author(s):  
Frederic Teulon ◽  
Khaled Guesmi ◽  
Salma Fattoum
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Market Price ◽  
Time Varying ◽  
Expected Return ◽  
Market Price Of Risk ◽  
Market Prices ◽  
Price Of Risk ◽  
Show Evidence ◽  
The Difference

This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the expected return and market price of risk between A and B shares. However, the significance of the difference between market prices of risk disappears if GARCH models are used.

TIME-VARYING MARKET PRICE OF RISK AND AUTOREGRESSIVE ERROR STRUCTURE OF OIL PRICES

2020 ◽  
Vol 38 (1) ◽  
Author(s):  
Carla Gomes Costa de Souza ◽  
Fernando Antonio Lucena Aiube
Keyword(s):  
Market Price ◽  
Commodity Prices ◽  
Factor Models ◽  
Time Varying ◽  
Market Price Of Risk ◽  
Error Structure ◽  
Price Of Risk ◽  
Different Types ◽  
Oil Contracts ◽  
Smith Model

In this paper we investigate the inclusion of a time-varying market price of risk in oil price factor models. Additionally an autoregressive error structure is adopted to filter this property of financial series. We use the Schwartz and Smith model, which is well established in the literature on commodity prices. The analysis is easily extended to different types of factor models. The empirical application considered the future oil contracts traded on the NYMEX. We find that considering a time-varying market price of risk and the autoregressive structure improves the fit of the empirical data.

Sign in / Sign up

Export Citation Format

Share Document