TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL

DOI10.1142/S0219024904002748zbMath1090.91055MaRDI QIDQ4662055

Caio Ibsen Rodrigues de Almeida

Publication date: 30 March 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

risk premiaInterest ratesmarket prices of riskAffine modelsExpectation hypothesis Theory

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Estimation of affine asset pricing models using the empirical characteristic function
• Unnamed Item

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