Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Robert F. Engle; David M. Lilien; Russell P. Robins

doi:10.2307/1913242

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Econometrica ◽

10.2307/1913242 ◽

1987 ◽

Vol 55 (2) ◽

pp. 391 ◽

Cited By ~ 1248

Author(s):

Robert F. Engle ◽

David M. Lilien ◽

Russell P. Robins

Keyword(s):

Term Structure ◽

Risk Premia ◽

Time Varying

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Expectations Puzzle, Time-varying Risk Premia, and Dynamic Models of the Term Structure

SSRN Electronic Journal ◽

10.2139/ssrn.242607 ◽

2000 ◽

Cited By ~ 3

Author(s):

Qiang Dai ◽

Kenneth J. Singleton

Keyword(s):

Term Structure ◽

Dynamic Models ◽

Risk Premia ◽

Time Varying

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Expectation puzzles, time-varying risk premia, and affine models of the term structure

Journal of Financial Economics ◽

10.1016/s0304-405x(02)00067-3 ◽

2002 ◽

Vol 63 (3) ◽

pp. 415-441 ◽

Cited By ~ 477

Author(s):

Qiang Dai ◽

Kenneth J. Singleton

Keyword(s):

Term Structure ◽

Risk Premia ◽

Time Varying ◽

Affine Models

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Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia

Annals of Finance ◽

10.1007/s10436-006-0039-x ◽

2006 ◽

Vol 2 (3) ◽

pp. 259-285 ◽

Cited By ~ 15

Author(s):

Min Fan

Keyword(s):

Term Structure ◽

Risk Premia ◽

Heterogeneous Beliefs ◽

Time Varying

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The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia: A Panel Data Approach

SSRN Electronic Journal ◽

10.2139/ssrn.92556 ◽

1998 ◽

Cited By ~ 3

Author(s):

Richard D.F. Harris

Keyword(s):

Panel Data ◽

Term Structure ◽

Risk Premia ◽

Time Varying ◽

Expectations Hypothesis

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Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure

10.3386/w8167 ◽

2001 ◽

Cited By ~ 11

Author(s):

Qiang Dai ◽

Kenneth Singleton

Keyword(s):

Term Structure ◽

Dynamic Models ◽

Risk Premia ◽

Time Varying

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Macroeconomic Sources of Time-Varying Risk Premia in the Term Structure of Interest Rates

Journal of money credit and banking ◽

10.2307/2077883 ◽

1995 ◽

Vol 27 (2) ◽

pp. 549 ◽

Cited By ~ 17

Author(s):

Sang-Sub Lee

Keyword(s):

Interest Rates ◽

Term Structure ◽

Risk Premia ◽

Time Varying

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The Expectations Hypothesis of the Term Structure and Time-Varying Risk Premia: a Panel Data Approach

Oxford Bulletin of Economics and Statistics ◽

10.1111/1468-0084.00218 ◽

2001 ◽

Vol 63 (2) ◽

pp. 233-245 ◽

Cited By ~ 10

Author(s):

Richard D. F. Harris

Keyword(s):

Panel Data ◽

Term Structure ◽

Risk Premia ◽

Time Varying ◽

Expectations Hypothesis

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Time-Varying Term Structure of Oil Risk Premia

The Energy Journal ◽

10.5547/01956574.43.5.gcor ◽

2022 ◽

Vol 43 (01) ◽

Author(s):

Gonzalo Cortazar ◽

Philip Liedtke ◽

Hector Ortega ◽

Eduardo S. Schwartz

Keyword(s):

Term Structure ◽

Risk Premia ◽

Time Varying

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A Nonlinear Expectations Model of the Term Structure of Interest Rates with Time-Varying Risk Premia

Journal of money credit and banking ◽

10.2307/1992418 ◽

1989 ◽

Vol 21 (3) ◽

pp. 348 ◽

Cited By ~ 7

Author(s):

Bong-Soo Lee

Keyword(s):

Interest Rates ◽

Term Structure ◽

Risk Premia ◽

Time Varying ◽

Nonlinear Expectations

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Time-varying risk premia in the term structure of interest rates in New Zealand

Applied Financial Economics ◽

10.1080/758523955 ◽

1994 ◽

Vol 4 (2) ◽

pp. 111-120 ◽

Cited By ~ 5

Author(s):

Daimitri Margaritis

Keyword(s):

New Zealand ◽

Interest Rates ◽

Term Structure ◽

Risk Premia ◽

Time Varying

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