The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis
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Krzysztof Drachal: Warsaw University of Technology
Expert Journal of Economics, 2015, vol. 3, issue 2, 136-142
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 sub-periods.
Keywords: financial crisis; GARCH; risk premium; structural stability (search for similar items in EconPapers)
JEL-codes: C22 G12 G17 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:exp:econcs:v:3:y:2015:i:2:p:136-142
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