Movements in the Equity Premium: Evidence from a Time-Varying VAR

DOI10.2202/1558-3708.1523zbMATH Open1192.91195OpenAlexW2045243172MaRDI QIDQ3574704FDOQ3574704

Authors: Massimiliano de Santis 

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1523

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cites Work

• Estimating and Testing Linear Models with Multiple Structural Changes

Cited In (3)

• Market efficiency, asset returns, and the size of the risk premium in global equity markets.
• What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

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