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

DOI10.2202/1558-3708.1523MaRDI QIDQ3574704zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
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• Modeling the variance risk premium of equity indices: the role of dependence and contagion
• Time-varying predictability of the long horizon equity premium based on semiparametric regressions
• Dynamics of variance risk premia: a new model for disentangling the price of risk
• What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio
• A non-linear dynamic model of the variance risk premium
• Time-varying risk premia

Cites work

• Estimating and Testing Linear Models with Multiple Structural Changes

Cited in

(3)

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

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