ASSET PRICING WITH A FACTOR-ARCH COVARIANCE STRUCTURE - EMPIRICAL ESTIMATES FOR TREASURY BILLS

被引：334

作者：

ENGLE, RF

NG, VK

ROTHSCHILD, M

机构：

[1] UNIV CALIF SAN DIEGO,LA JOLLA,CA 92093

[2] UNIV MICHIGAN,ANN ARBOR,MI 48109

来源：

JOURNAL OF ECONOMETRICS | 1990年 / 45卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0304-4076(90)90099-F

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of asset excess returns. This structure allows us to study the dynamic relationship between asset risk premia and volatilities in a multivariate system. One and two FACTOR-ARCH models are successfully applied to pricing of Treasury bills. The results show stability over time, pass a variety of diagnostic tests, and compare favorably with previous empirical findings. © 1990.

引用

页码：213 / 237

页数：25

共 25 条

[1]

Baba Y. E., 1987, MULTIVARIATE SIMULTA

[2] A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J].