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dc.contributor.author
Hevia, Constantino
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dc.contributor.author
Sola, Martin
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dc.date.available
2022-11-02T14:16:15Z
dc.date.issued
2018-10
dc.identifier.citation
Hevia, Constantino; Sola, Martin; Bond Risk Premia and Restrictions on Risk Prices; MDPI; Journal of Risk and Financial Management; 11; 4; 10-2018; 1-22
dc.identifier.issn
1911-8074
dc.identifier.uri
http://hdl.handle.net/11336/175977
dc.description.abstract
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk premiums.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
MDPI
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by/2.5/ar/
dc.subject
BOND RISK PREMIA
dc.subject
AFFINE TERM STRUCTURE MODELS
dc.subject
RISK PRICES
dc.subject.classification
Economía, Econometría
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dc.subject.classification
Economía y Negocios
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dc.subject.classification
CIENCIAS SOCIALES
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dc.title
Bond Risk Premia and Restrictions on Risk Prices
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2022-11-01T23:18:40Z
dc.journal.volume
11
dc.journal.number
4
dc.journal.pagination
1-22
dc.journal.pais
Estados Unidos
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dc.description.fil
Fil: Hevia, Constantino. Universidad Torcuato Di Tella. Departamento de Economía; Argentina
dc.description.fil
Fil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
dc.journal.title
Journal of Risk and Financial Management
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/http://www.mdpi.com/1911-8074/11/4/60
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.3390/jrfm11040060
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