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Keywords: Risk premia
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2019) 46 (3): 533–563.
Published: 02 August 2019
... 2005 to December 2015. The paper aims to discuss this issue. Design/methodology/approach Risk premia are modeled as time-varying and depend on both observable and unobservable factors; and the authors estimate a vector autoregressive model considering no-arbitrage assumptions. Findings...
