Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques

Applied Financial Economics

Volumn 14, Issue 2, 2004, Pages 93-104

  Castagnetti, Carolina ^a  

^a UNIVERSITY OF PAVIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMETRICS; ECONOMIC ANALYSIS; REGRESSION ANALYSIS;

CENTRAL EUROPE; EURASIA; EUROPE; GERMANY;

EID: 1242265777     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/0960310042000176362     Document Type: Article

References (22)

1. Abel, A. B. (1998) Risk premia and term premia in general equilibrium, NBER Working paper 6683.
2. Alessandrini, F. (1999) Credit risk, interest rate risk, and the business cycle, The Journal of Fixed Income, 9, 42-53.
3. Backus, D. K., Gregory, A. W. and Zin, S. E. (1989) Risk premiums in the term structure. Evidence from artificial economies, Journal of Monetary Economics, 24, 371-99.
4. Backus, D. K. and Gregory, D. K. (1993) Theoretical relations between risk premiums and conditional variances, Journal of Business and Economic Statistics, 11, 177-85.
5. Bevan, A. and Garzarelli, F. (2000) Corporate bond spreads and the business cycle: introducing GS-SPREAD, The Journal of Fixed Income, 9, 8-18.
6. Campbell, J. Y., Lo, A. W., and MacKinlay, A. C. (1997) The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.
7. Donaldson, Lufkin and Jenrette (2000) 2000 European Leveraged Finance Annual Review.
8. Duffee, G. R. (1997) The relation between treasury yields and corporate bond yield spreads, Mimeo.
9. Engle, R. F. and Kroner, K. F. (1995) Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122-50.
10. Engle, R. F., Lilien, D. M. and Robins, R. P. (1987) Estimating time varying risk premia in the term structure: the ARCH-M model, Econometrica, 55, 391-407.
11. French, K. R., Schwert, G. and Stamgaugh, R. (1987) Expected stock returns and volatility, Journal of Financial Economics, 19, 3-30.
12. Gennotte, G. and Marsh, T. A. (1993) Variations in economic uncertainty and risk premiums on capital assets, European Economic Review, 37, 1021-41.
13. Härdle, W. and Linton, O. (1994) in Handbook of Econometrics. (Eds) R. F. Engle and D. L. McFadden, Elsevier, New York, Chapter 38.
14. Heiler, S. (1998) A survey on nonparametric time series analysis. Mimeo.
15. Ivanowsky, R. and Chandra, R. (1995) How do corporate spread curves move over time? An empirical study of the Salomon Brothers Corporate Bond Index, Salomon Brothers Series.
16. Linton, O. and Perron, B. (2002) The shape of the risk premium: evidence from a semiparametric-mean GARCH model, Journal of Business and Economic Statistics, 21, 354-67.
17. Longstaff, F. A. and Schwartz, E. S. (1995) A simple approach to valuing risky fixed and floating rate debt, Journal of Finance, 50, 789-819.
18. Nielsen, L. T., Requejo, J. S. and Santa-Clara, P. (1993) Default risk and interest rate risk: the term structure of default spread, INSEAD, Working Paper.
19. Pagan, A. and Hong, Y. (1990) Nonparametric estimation and the risk premium, in Semiparametric and Nonparametric Methods in Econometrics and Statistics (Eds) W., Barnett, J. Powell, and G., Tauchen, Cambridge University Press, Cambridge.
20. Pagan, A. and Ullah, A. (1999) Nonparmetric Econometrics, Cambridge University Press.
21. Reitano, R. (1991) Nonparallel curve shifts and spread leverage, The Journal of Portfolio Management, 17, 82-7.
22. Shiller, R. J. (1979) The volatility of long-term interest rates and expectations models of the term structure, Journal of Political Economy, 87, 1190-219.