Estimating time-varying risk premia in UK long-term government bonds

Steeley, James M. (2004). Estimating time-varying risk premia in UK long-term government bonds. Applied Financial Economics, 14 (5), pp. 367-373.

Abstract

Simple models of time-varying risk premia are used to measure the risk premia in long-term UK government bonds. The parameters of the models can be estimated using nonlinear seemingly unrelated regression (NL-SUR), which permits efficient use of information across the entire yield curve and facilitates the testing of various cross-sectional restrictions. The estimated time-varying premia are found to be substantially different to those estimated using models that assume constant risk premia. © 2004 Taylor and Francis Ltd.

Publication DOI: https://doi.org/10.1080/0960310042000211632
Divisions: Aston Business School > Accounting
Aston Business School > Accounting Research Group
Uncontrolled Keywords: time-varying risk premi,risk premia,long-term UK government bonds,nonlinear seemingly unrelated regression,NL-SUR,yield curve,cross-sectional restrictions,Geography, Planning and Development
Full Text Link: http://www.info ... sue=5&spage=367
Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
Published Date: 2004-03
Authors: Steeley, James M. ( 0000-0003-0345-5089)

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