The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis
The aim of this research is to analyze a short-term risk premium in Poland between 2005 and 2015. In particular one-day periods are considered. It is studies whether the same GARCH type model can be applied for the whole period, or whether the estimated parameters differ significantly for selected s...
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| Format: | Article |
| Language: | English |
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Sprint Investify
2015-07-01
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| Series: | Expert Journal of Economics |
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| Online Access: | http://economics.expertjournals.com/wp-content/uploads/EJE_314drachal136-142.pdf |