THE ECONOMETRIC-ANALYSIS OF MODELS WITH RISK TERMS

被引：154

作者：

PAGAN, A ^{[1
]}

ULLAH, A ^{[1
]}

机构：

[1] UNIV WESTERN ONTARIO,LONDON N6A 3K7,ONTARIO,CANADA

来源：

JOURNAL OF APPLIED ECONOMETRICS | 1988年 / 3卷 / 02期

关键词：

D O I：

10.1002/jae.3950030202

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

收藏

页码：87 / 105

页数：19

相关论文

共 52 条

[1] BIERENS H, 1987, ADV EC THEORY
[2] BIERENS HJ, 1983, J AM STAT ASSOC, V78, P699
[3] ADAPTING FOR HETEROSCEDASTICITY IN LINEAR-MODELS
CARROLL, RJ
[J]. ANNALS OF STATISTICS, 1982, 10 (04) : 1224 - 1233
[4] AGGREGATE ECONOMIC-ACTIVITY AND THE VARIANCE OF INFLATION - ANOTHER LOOK
COULSON, NE
ROBINS, RP
[J]. ECONOMICS LETTERS, 1985, 17 (1-2) : 71 - 75
[5] CUKIERMAN A, 1979, AM ECON REV, V69, P595
[6] CONDITIONAL VARIANCE AND THE RISK PREMIUM IN THE FOREIGN-EXCHANGE MARKET
DOMOWITZ, I
HAKKIO, CS
[J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1985, 19 (1-2) : 47 - 66
[7] ESTIMATES OF THE VARIANCE OF UNITED-STATES INFLATION BASED UPON THE ARCH MODEL
ENGLE, RF
[J]. JOURNAL OF MONEY CREDIT AND BANKING, 1983, 15 (03) : 286 - 301
[8] ESTIMATING TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE - THE ARCH-M MODEL
ENGLE, RF
LILIEN, DM
ROBINS, RP
[J]. ECONOMETRICA, 1987, 55 (02) : 391 - 407
[9] AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION
ENGLE, RF
[J]. ECONOMETRICA, 1982, 50 (04) : 987 - 1007
[10] COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING
ENGLE, RF
GRANGER, CWJ
[J]. ECONOMETRICA, 1987, 55 (02) : 251 - 276

← 1 2 3 4 5 6 →