Next Article in Journal
Forecasting of Realised Volatility with the Random Forests Algorithm
Next Article in Special Issue
Threshold Stochastic Conditional Duration Model for Financial Transaction Data
Previous Article in Journal
A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange
Previous Article in Special Issue
Stationary Threshold Vector Autoregressive Models
Article

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.
J. Risk Financial Manag. 2018, 11(4), 60; https://doi.org/10.3390/jrfm11040060
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)
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
Show Figures

Graphical abstract

MDPI and ACS Style

Hevia, C.; Sola, M. Bond Risk Premia and Restrictions on Risk Prices. J. Risk Financial Manag. 2018, 11, 60. https://doi.org/10.3390/jrfm11040060

AMA Style

Hevia C, Sola M. Bond Risk Premia and Restrictions on Risk Prices. Journal of Risk and Financial Management. 2018; 11(4):60. https://doi.org/10.3390/jrfm11040060

Chicago/Turabian Style

Hevia, Constantino, and Martin Sola. 2018. "Bond Risk Premia and Restrictions on Risk Prices" Journal of Risk and Financial Management 11, no. 4: 60. https://doi.org/10.3390/jrfm11040060

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop