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Theoretical Relations between Risk Premiums and Conditional Variances
Home
Publications
Theoretical Relations between Risk Premiums and Conditional Variances
Theoretical Relations between Risk Premiums and Conditional Variances
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David K. Backus
David K. Backus
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Allan W. Gregory
Allan W. Gregory
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1 April 1993
journal article
Published by
JSTOR
in
Journal of Business & Economic Statistics
Vol. 11
(2)
,
177
https://doi.org/10.2307/1391369
Abstract
Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroscedasticity (ARCH)-in-mean, attempt to exploit a relation...
Keywords
THEORETICAL RELATIONS
RISK PREMIUMS
CONDITIONAL VARIANCES
PREMIUMS AND CONDITIONAL
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Open Access
Cited by 35 articles