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Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills
dc.contributor.authorEngle, Robert F.en_US
dc.contributor.authorNg, Victor K.en_US
dc.contributor.authorRothschild, Michaelen_US
dc.date.accessioned2006-04-10T13:41:04Z
dc.date.available2006-04-10T13:41:04Z
dc.date.issued1990en_US
dc.identifier.citationEngle, Robert F., Ng, Victor K., Rothschild, Michael (1990)."Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills." Journal of Econometrics 45(1-2): 213-237. <http://hdl.handle.net/2027.42/28496>en_US
dc.identifier.urihttp://www.sciencedirect.com/science/article/B6VC0-4582CY8-26/2/dc2da2d5c44f986a45e1cf0910f9f8ffen_US
dc.identifier.urihttps://hdl.handle.net/2027.42/28496
dc.description.abstractIn this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of asset excess returns. This structure allows us to study the dynamic relationship between asset risk premia and volatilities in a multivariate system. One and two FACTOR-ARCH models are successfully applied to pricing of Treasury bills. The results show stability over time, pass a variety of diagnostic tests, and compare favorably with previous empirical findings.en_US
dc.format.extent1388030 bytes
dc.format.extent3118 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.language.isoen_US
dc.publisherElsevieren_US
dc.titleAsset pricing with a factor-arch covariance structure : Empirical estimates for treasury billsen_US
dc.typeArticleen_US
dc.rights.robotsIndexNoFollowen_US
dc.subject.hlbsecondlevelStatistics and Numeric Dataen_US
dc.subject.hlbsecondlevelMathematicsen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelSocial Sciencesen_US
dc.subject.hlbtoplevelScienceen_US
dc.subject.hlbtoplevelBusinessen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationumUniversity of Michigan, Ann Arbor, MI 48109, USAen_US
dc.contributor.affiliationotherNBER and University of California, San Diego, La Jolla, CA, 92093, USAen_US
dc.contributor.affiliationotherNBER and University of California, San Diego, La Jolla, CA 92093, USAen_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/28496/1/0000293.pdfen_US
dc.identifier.doihttp://dx.doi.org/10.1016/0304-4076(90)90099-Fen_US
dc.identifier.sourceJournal of Econometricsen_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


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