Theoretical Relations between Risk Premiums and Conditional Variances
通过动态资产定价理论的数值模拟，考察风险溢价与条件方差之间的关系，发现该关系可能递增、递减、平坦或非单调，取决于偏好和经济结构，对使用GARCH-M模型的研究者有参考价值。
Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroskedasticity-in-mean, attempt to exploit a relation between risk premiums and conditional variances or covariances of asset returns. The authors examine this relation in numerical versions of a dynamic asset-pricing theory and show that it can be increasing, decreasing, flat, or nonmonotonic. Its shape depends on both the preferences of the representative agent and the stochastic structure of the economy. Without additional structure, the theory does not provide either a general foundation for autoregressive conditional heteroskedasticity-in-mean specifications or a simple interpretation of their parameters. (This abstract was borrowed from another version of this item.)