Keywords: Time varying risk premium
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Journal Articles
Journal of Indian Business Research (2013) 5 (2): 101–121.
Published: 31 May 2013
... premium. Short‐run price dynamics is investigated with constant and time varying risk premium. Short‐run price dynamics with constant risk premium is modeled with ECM model and short‐run price dynamics with time varying risk premium is modeled using ECM‐GARCH in‐Mean framework. Findings As far as long...

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