Please use this identifier to cite or link to this item: http://pandora.lib.unipi.gr/jspui/handle/unipi/1634
Title: A note on the relation between the equity risk premium and the term structure
Authors: 
Citation: Journal of Economics and Finance, 34, 1, 2010, 89-95
Abstract: We show that nonlinearity in the relation between the equity premium and the slope of the term structure has two dimensions, namely asymmetry between positively and negatively sloped term structures, and regime switching. Asymmetry is uncovered only if volatility regime switching is allowed in equity premium dynamics. Predictive power for the equity premium arises only from the positively sloped term structure, and only in periods of low volatility of the equity premium.
URI: http://pandora.lib.unipi.gr/jspui/handle/unipi/1634
URLs: http://link.springer.com/content/pdf/10.1007%2Fs12197-008-9069-8.pdf
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

Files in This Item:
There are no files associated with this item.


Items in CRIS are protected by copyright, with all rights reserved, unless otherwise indicated.