Measuring equity risk premium and risk aversion in the US.

• المؤلفون الرئيسيون: Chong, Hui Han., Thng, Anthony Lian Guan., Soo, Jia Hao.
• مؤلفون آخرون: Shrestha, Keshab Man
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Equity
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/10404
• المؤسسة: Nanyang Technological University

In our project, we estimated the time series of risk aversion using annual data for the U.S. We use the time varying parameter GARCH-M model, proposed by [Chou et al., 1992] for the estimation. The S&P 500 stock index was used as the market index; and constant maturity 10-year T-Bonds as well a...