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Money announcements and the risk premium

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
27
Issue
2
Identifiers
DOI: 10.1016/0165-1765(88)90089-4

Abstract

Abstract The risk premium hypothesis is tested within the weekly M1 announcement framework. Although ARCH processes were detected, the ARCH- M modelling technique revealed no traces of a time varying risk premium.

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