| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0065 |
| 来源ID | Technical Working Paper 0065 |
| Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills | |
| Robert F. Engle; Victor Ng; Michael Rothschild | |
| 发表日期 | 1988-11-14 |
| 出版年 | 1988 |
| 语种 | 英语 |
| 摘要 | Asset pricing relations are developed for a vector of assets with a time varying covariance structure. Assuming that the eigenvectors are constant but the eigenvalues changing, both the Capital Asset Pricing Model and the Arbitrage Pricing Theory suggest the same testable implication: the time varying part of risk premia are proportional to the time varying eigenvalues. Specifying the eigenvalues as general ARCH processes. the model is a multivariate Factor ARCH model. Univariate portfolios corresponding to the eigenvectors will have (time varying) risk premia proportional to their own (time varying) variance and can be estimated using the GARCH-M model. This structure is applied to monthly treasury bills from two to twelve months maturity and the value weighted NYSE returns index. The bills appear to have a single factor in the variance process and this factor is influenced or "caused in variance" by the stock returns. |
| 主题 | Macroeconomics ; Econometrics |
| URL | https://www.nber.org/papers/t0065 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560042 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Victor Ng,Michael Rothschild. Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills. 1988. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0065.pdf（1949KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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