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Lee, 1995 - Google Patents

Macroeconomic sources of time-varying risk premia in the term structure of interest rates

Lee, 1995

Document ID
65797847771918477
Author
Lee S
Publication year
Publication venue
Journal of Money, Credit and Banking

External Links

Snippet

ACCORDING TO INTERTEMPORAL CAPITAL ASSET pricing models (ICAPM) in finance (Merton 1983), risk premia are the prices of risk built in assets priced according to their hedging capabilities against the uncertainties related to the relevant state variables in the …
Continue reading at www.jstor.org (other versions)

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