Bond Risk Premia and Restrictions on Risk Prices

Autores
Hevia, Constantino; Sola, Martin
Año de publicación
2018
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Hevia, Constantino. Universidad Torcuato Di Tella. Departamento de Economía; Argentina
Fil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
BOND RISK PREMIA
AFFINE TERM STRUCTURE MODELS
RISK PRICES
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/175977
Acceder
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spelling Bond Risk Premia and Restrictions on Risk PricesHevia, ConstantinoSola, MartinBOND RISK PREMIAAFFINE TERM STRUCTURE MODELSRISK PRICEShttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5Researchers 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.Fil: Hevia, Constantino. Universidad Torcuato Di Tella. Departamento de Economía; ArgentinaFil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaMDPI2018-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/175977Hevia, Constantino; Sola, Martin; Bond Risk Premia and Restrictions on Risk Prices; MDPI; Journal of Risk and Financial Management; 11; 4; 10-2018; 1-221911-8074CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://www.mdpi.com/1911-8074/11/4/60info:eu-repo/semantics/altIdentifier/doi/10.3390/jrfm11040060info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-10T13:05:29Zoai:ri.conicet.gov.ar:11336/175977instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-10 13:05:29.905CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Bond Risk Premia and Restrictions on Risk Prices
title Bond Risk Premia and Restrictions on Risk Prices
spellingShingle Bond Risk Premia and Restrictions on Risk Prices
Hevia, Constantino
BOND RISK PREMIA
AFFINE TERM STRUCTURE MODELS
RISK PRICES
title_short Bond Risk Premia and Restrictions on Risk Prices
title_full Bond Risk Premia and Restrictions on Risk Prices
title_fullStr Bond Risk Premia and Restrictions on Risk Prices
title_full_unstemmed Bond Risk Premia and Restrictions on Risk Prices
title_sort Bond Risk Premia and Restrictions on Risk Prices
dc.creator.none.fl_str_mv Hevia, Constantino
Sola, Martin
author Hevia, Constantino
author_facet Hevia, Constantino
Sola, Martin
author_role author
author2 Sola, Martin
author2_role author
dc.subject.none.fl_str_mv BOND RISK PREMIA
AFFINE TERM STRUCTURE MODELS
RISK PRICES
topic BOND RISK PREMIA
AFFINE TERM STRUCTURE MODELS
RISK PRICES
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv 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.
Fil: Hevia, Constantino. Universidad Torcuato Di Tella. Departamento de Economía; Argentina
Fil: Sola, Martin. Universidad Torcuato Di Tella. Departamento de Economía; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description 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.
publishDate 2018
dc.date.none.fl_str_mv 2018-10
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/175977
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
1911-8074
CONICET Digital
CONICET
url http://hdl.handle.net/11336/175977
identifier_str_mv 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
1911-8074
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://www.mdpi.com/1911-8074/11/4/60
info:eu-repo/semantics/altIdentifier/doi/10.3390/jrfm11040060
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 12.993085

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