This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market … risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour …

premium is very sensitive with regard to the utility parameters. -- equity premium ; production CAPM ; real-business cycle …

-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the … estimation of risk premia but also in tests of market efficiency, where λk and μk are respectively the risk premium and the mean …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …