The time-varying risk premium coefficient and the conditional skewness

被引：0

作者：

Wen, Fenghua ^{[1
]}

Xiao, Jinli ^{[1
]}

Liu, Zhifeng ^{[1
]}

Dai, Zhifeng ^{[2
]}

Yang, Xiaoguang ^{[3
]}

机构：

[1] Changsha Univ Sci & Technol, Sch Econ & Management, Changsha, Hunan, Peoples R China

[2] Changsha Univ Sci & Technol, Sch Math & Comp Sci, Changsha, Peoples R China

[3] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China

来源：

2012 FIFTH INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING (BIFE) | 2012年

基金：

湖南省自然科学基金;

关键词：

conditional skewness; risk premium coefficient; GARCHS;

D O I：

10.1109/BIFE.2012.55

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Much literature finds that the skewness in the return distribution is negatively correlated with the risk premium coefficient, and speculation is the reason for the skewness in the return distribution. As a further research, this paper, first taking up the time-varying property of the risk premium coefficient, proposes a GARCHS-M Model with a time-varying coefficient of the risk premium for an empirical study of the correlation between the time-varying skewness in the return distribution and the time-varying risk premium coefficient. The empirical study indicates that the coefficient of the risk premium varies with the time, and even in a mature market the time-varying skewness in the return distribution is negatively correlated with the time-varying coefficient of the risk premium.

引用

页码：224 / 228

页数：5

共 50 条

[1] Time-Varying Risk Attitude and Conditional Skewness
Liu, Zhifeng
Zhang, Tingting
Wen, Fenghua
ABSTRACT AND APPLIED ANALYSIS, 2014,
[2] The pricing of the illiquidity factor's conditional risk with time-varying premium
Amihud, Yakov
Noh, Joonki
JOURNAL OF FINANCIAL MARKETS, 2021, 56
[3] Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness
Kirby, Chris
JOURNAL OF FINANCIAL ECONOMETRICS, 2024, 22 (05) : 1714 - 1758
[4] Time-varying uncertainty and variance risk premium
Ruan, Xinfeng
Zhang, Jin E.
JOURNAL OF MACROECONOMICS, 2021, 69
[5] THE DISCRETELY TIME-VARYING RISK PREMIUM ON THE AUD
BUCHANAN, MJ
FELMINGHAM, BS
ECONOMICS LETTERS, 1990, 32 (03) : 261 - 265
[6] Time-varying expected returns, conditional skewness and Bitcoin return predictability
Atance, David
Serna, Gregorio
QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2024, 96
[7] Skewness of return distribution and coefficient of risk premium
Wen, Fenghua
Rao, Guitian
Yang, Xiaoguang
PROCEEDINGS OF THE 2008 INTERNATIONAL CONFERENCE ON E-RISK MANAGEMENT (ICERM 2008), 2008, : 405 - +
[8] SKEWNESS OF RETURN DISTRIBUTION AND COEFFICIENT OF RISK PREMIUM
Fenghua WENSchool of Economics and Management
Academy of Mathematics and Systems Science
JournalofSystemsScience&Complexity, 2009, 22 (03) : 360 - 371
[9] Skewness of return distribution and coefficient of risk premium
Fenghua Wen
Xiaoguang Yang
Journal of Systems Science and Complexity, 2009, 22 : 360 - 371
[10] Skewness of return distribution and coefficient of risk premium
Wen, Fenghua
Yang, Xiaoguang
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2009, 22 (03) : 360 - 371

← 1 2 3 4 5 →