Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev
is natural to assume the state is endogenous. As an example, it is often the case that the
estimated state variable has … estimates of
1
β ,
2
β ,
1
σ ,
2
σ , the mean of the standard errors for
these parameter estimates, and the rejection rate … predictable. Given this, classic portfolio theory would imply that the equity risk
premium should also be time-varying and …