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Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Econometrica
◽
10.2307/1913242
◽
1987
◽
Vol 55
(2)
◽
pp. 391
◽
Cited By ~ 1248
Author(s):
Robert F. Engle
◽
David M. Lilien
◽
Russell P. Robins
Keyword(s):
Term Structure
◽
Risk Premia
◽
Time Varying
Download Full-text
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References
Expectations Puzzle, Time-varying Risk Premia, and Dynamic Models of the Term Structure
SSRN Electronic Journal
◽
10.2139/ssrn.242607
◽
2000
◽
Cited By ~ 3
Author(s):
Qiang Dai
◽
Kenneth J. Singleton
Keyword(s):
Term Structure
◽
Dynamic Models
◽
Risk Premia
◽
Time Varying
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Expectation puzzles, time-varying risk premia, and affine models of the term structure
Journal of Financial Economics
◽
10.1016/s0304-405x(02)00067-3
◽
2002
◽
Vol 63
(3)
◽
pp. 415-441
◽
Cited By ~ 477
Author(s):
Qiang Dai
◽
Kenneth J. Singleton
Keyword(s):
Term Structure
◽
Risk Premia
◽
Time Varying
◽
Affine Models
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Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia
Annals of Finance
◽
10.1007/s10436-006-0039-x
◽
2006
◽
Vol 2
(3)
◽
pp. 259-285
◽
Cited By ~ 15
Author(s):
Min Fan
Keyword(s):
Term Structure
◽
Risk Premia
◽
Heterogeneous Beliefs
◽
Time Varying
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The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: A Panel Data Approach
SSRN Electronic Journal
◽
10.2139/ssrn.92556
◽
1998
◽
Cited By ~ 3
Author(s):
Richard D.F. Harris
Keyword(s):
Panel Data
◽
Term Structure
◽
Risk Premia
◽
Time Varying
◽
Expectations Hypothesis
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Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
10.3386/w8167
◽
2001
◽
Cited By ~ 11
Author(s):
Qiang Dai
◽
Kenneth Singleton
Keyword(s):
Term Structure
◽
Dynamic Models
◽
Risk Premia
◽
Time Varying
Download Full-text
Macroeconomic Sources of Time-Varying Risk Premia in the Term Structure of Interest Rates
Journal of money credit and banking
◽
10.2307/2077883
◽
1995
◽
Vol 27
(2)
◽
pp. 549
◽
Cited By ~ 17
Author(s):
Sang-Sub Lee
Keyword(s):
Interest Rates
◽
Term Structure
◽
Risk Premia
◽
Time Varying
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The Expectations Hypothesis of the Term Structure and Time-Varying Risk Premia: a Panel Data Approach
Oxford Bulletin of Economics and Statistics
◽
10.1111/1468-0084.00218
◽
2001
◽
Vol 63
(2)
◽
pp. 233-245
◽
Cited By ~ 10
Author(s):
Richard D. F. Harris
Keyword(s):
Panel Data
◽
Term Structure
◽
Risk Premia
◽
Time Varying
◽
Expectations Hypothesis
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Time-Varying Term Structure of Oil Risk Premia
The Energy Journal
◽
10.5547/01956574.43.5.gcor
◽
2022
◽
Vol 43
(01)
◽
Author(s):
Gonzalo Cortazar
◽
Philip Liedtke
◽
Hector Ortega
◽
Eduardo S. Schwartz
Keyword(s):
Term Structure
◽
Risk Premia
◽
Time Varying
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A Nonlinear Expectations Model of the Term Structure of Interest Rates with Time-Varying Risk Premia
Journal of money credit and banking
◽
10.2307/1992418
◽
1989
◽
Vol 21
(3)
◽
pp. 348
◽
Cited By ~ 7
Author(s):
Bong-Soo Lee
Keyword(s):
Interest Rates
◽
Term Structure
◽
Risk Premia
◽
Time Varying
◽
Nonlinear Expectations
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Time-varying risk premia in the term structure of interest rates in New Zealand
Applied Financial Economics
◽
10.1080/758523955
◽
1994
◽
Vol 4
(2)
◽
pp. 111-120
◽
Cited By ~ 5
Author(s):
Daimitri Margaritis
Keyword(s):
New Zealand
◽
Interest Rates
◽
Term Structure
◽
Risk Premia
◽
Time Varying
Download Full-text
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