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dc.contributor.authorWu, C. C.en_US
dc.contributor.authorLee, Jack C.en_US
dc.date.accessioned2014-12-08T15:20:12Z-
dc.date.available2014-12-08T15:20:12Z-
dc.date.issued2007-03-01en_US
dc.identifier.issn0264-9993en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.econmod.2006.08.003en_US
dc.identifier.urihttp://hdl.handle.net/11536/14335-
dc.description.abstractBrown and Gibbons [Brown, D.P., Gibbons, MR., 1985. A simple econometric approach for utility-based asset pricing model. Journal of Finance 40, 359-381], Karson et al. [Karson, M., Cheng, D., Lee, C. F., 1995. Sampling distribution of the relative risk aversion estimator: theory and applications. Review of Quantitative Finance and Accounting 5, 43-54], and Lee et al. [Lee, C.F., Lee, J.C., Ni, H.F., Wu, C.C., 2004. On a simple econometric approach for utility-based asset pricing model. Review of Quantitative Finance and Accounting 22, 331-344] developed the theory and the distribution of unconditional relative risk aversion (RRA) estimates in utility-based asset pricing model by assuming normality for the log excess returns. While the normality assumption is not always appropriate for some security returns, Brown and Gibbons [Brown, D.P., Gibbons, M.R., 1985. A simple econometric approach for utility-based asset pricing model. Journal of Finance 40, 359-381] proposed generalized method of moments (GMM) to estimate unconditional RRA. However, RRA estimated by GMM is not statistically efficient with finite samples. The main purpose of this paper is to derive the process of estimating dynamic RRA with the maximum likelihood and a Bayesian method having a weakly informative prior density while assuming that the log excess returns on the market are distributed as normal mixture GARCH(1,1). This methodology will capture the variations of RRA across different periods. Empirical results are presented using market rates of returns and risk-free rates over the period 1941 to 2001. (c) 2006 Elsevier B.V. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectrelative risk aversionen_US
dc.subjectMLEen_US
dc.subjectBayesianen_US
dc.titleEstimation of a utility-based asset pricing model using normal mixture GARCH(1,1)en_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.econmod.2006.08.003en_US
dc.identifier.journalECONOMIC MODELLINGen_US
dc.citation.volume24en_US
dc.citation.issue2en_US
dc.citation.spage329en_US
dc.citation.epage349en_US
dc.contributor.department統計學研究所zh_TW
dc.contributor.department管理科學系zh_TW
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentInstitute of Statisticsen_US
dc.contributor.departmentDepartment of Management Scienceen_US
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000244457700009-
dc.citation.woscount1-
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