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

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