Comparison of time-series of risk aversion between Singapore, Hong Kong and USA

• المؤلفون الرئيسيون: Chua, Yi Ting, Lai, Miling, Tan, Peggan Peck Hia
• مؤلفون آخرون: Shrestha, Keshab Man
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Risk management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/10358
• المؤسسة: Nanyang Technological University

This paper aims to estimate and compare the time series of risk aversion for Singapore, Hong Kong and United States of America (USA). Like Chou, Engle and Kane, (1992), or CEK, we used the time-varying parameter (TVP) GARCH-M model to calculate the historical series of risk aversion parameter. For c...