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J. Risk Financial Manag. 2018, 11(4), 60;

Bond Risk Premia and Restrictions on Risk Prices

Department of Economics, Universidad Torcuato Di Tella, Buenos Aires 1428, Argentina
Author to whom correspondence should be addressed.
We thank Agustín Gutierrez for outstanding research assistance.
Received: 18 August 2018 / Revised: 25 September 2018 / Accepted: 30 September 2018 / Published: 3 October 2018
(This article belongs to the Special Issue Financial Econometrics)
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Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk premiums. View Full-Text
Keywords: bond risk premia; affine term structure models; risk prices bond risk premia; affine term structure models; risk prices

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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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Hevia, C.; Sola, M. Bond Risk Premia and Restrictions on Risk Prices. J. Risk Financial Manag. 2018, 11, 60.

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J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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