| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2818 |
| 来源ID | Working Paper 2818 |
| A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market | |
| Christopher M. Turner; Richard Startz; Charles R. Nelson | |
| 发表日期 | 1989 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | Risk premia in the stock market are assumed to move with time varying risk. We present a model in which the variance of time excess return of a portfolio depends on a state variable generated by a first-order Markov process. A model in which the realization of the state is known to economic agents, but unknown to the econometrician. is estimated. The parameter estimates are found to imply that time risk premium declines as time variance of returns rises. We then extend the model to allow agents to be uncertain about time state. Agents make their decisions in period t using a prior distribution of time state based only on past realizations of the excess return through period t-1 plus knowledge of the structure of the model. These parameter estimates from this model are consistent with asset pricing theory. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w2818 |
| 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/560084 |
| 推荐引用方式 GB/T 7714 | Christopher M. Turner,Richard Startz,Charles R. Nelson. A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market. 1989. |
| 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 | ||
| w2818.pdf（514KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
