Volatility spillovers and the price of risk: Evidence from the Swiss stock market

被引：0
|
作者：
Jochum C. [1 ]
机构：
[1] Department of Economics (SIASR-HSG), University of St. Gallen, CH-9000 St. Gallen
来源：
Empirical Economics | 1999年 / 24卷 / 2期
关键词：
Kalman filter; Risk premium; Volatility spillovers;
D O I：
10.1007/s001810050056
中图分类号：
学科分类号：
摘要：
This paper investigates the behavior of the risk premium on the Swiss stock market. The risk premium consists of two components, which are estimated separately: the amount of volatility and the unit price of risk. By estimating a bivariate GARCH-M model the volatility of the Swiss market is found to be strongly exposed to spillovers from the other major financial markets. To estimate the unit price of risk a Kalman filter procedure is employed, which allows for variability in this variable. Investors place a high price on risk, when the market is considered 'expensive'.
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页码：303 / 322
页数：19
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