Chantapacdepong, Pornpinun (contributor) - 2007
monthly risk premia data using zero coupon gov-
ernment treasury bills for 43 countries over the period of 1994-2006. The … period of 1994-2006. The risk premia measure
is based on the ARCH-in-Mean (ARCH-M) model introduced by Engle, Lilien
and …. In the …rst part, we generate
measures of the risk premia of government securities for 43 countries over the
period 1994-2006 …