A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
收藏NBER1989-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w2818
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资源简介：
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,
提供机构：
美国国家经济研究局
创建时间：
1989-01-01
