TESTING FOR THE PRESENCE OF TIME‐VARYING RISK PREMIUM USING A MEAN‐CONDITIONAL‐VARIANCE OPTIMIZATION MODEL†

Abstract

Oxford Bulletin of Economics and StatisticsVolume 56, Issue 2 p. 189-208 TESTING FOR THE PRESENCE OF TIME-VARYING RISK PREMIUM USING A MEAN-CONDITIONAL-VARIANCE OPTIMIZATION MODEL† Yerima Lawan Ngama, Nigeria Deposit Insurance Corporation, LagosSearch for more papers by this author Yerima Lawan Ngama, Nigeria Deposit Insurance Corporation, LagosSearch for more papers by this author First published: May 1994 https://doi.org/10.1111/j.1468-0084.1994.mp56002005.xCitations: 2 † †The author thanks Peter Burridge for making his Phillips-Hansen program available and Robert Lippens for providing the data used in this paper. He is also grateful to Patrick McMahon and an anonymous referee for their helpful comments. The financial support of the University of Maiduguri, Nigeria, is acknowledged. AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinked InRedditWechat Citing Literature Volume56, Issue2May 1994Pages 189-208 RelatedInformation