search query: @indexterm Filtering techniques / total: 5
reference: 3 / 5
| Author: | Jochum, C. |
| Title: | Volatility spillovers and the price of risk: Evidence from the Swiss stock market. |
| Journal: | Empirical Economics
1999 : MAY, VOL. 24:2, p. 303-322 |
| Index terms: | Stock markets Financial risk Risk measurement Switzerland Econometric models Filtering techniques |
| Language: | eng |
| Abstract: | The author investigates the behavior of the risk premium on the Swiss stock market. The risk premium consists of two components, which are estimated separately: the amount of volatility and the unit price of risk. |
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