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Essays on financial stability and bank competition in eastern Europe

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The business cycle and impacts of economic news on financial markets

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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...

Persistent link: https://www.econbiz.de/10012422545