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GARCH-M Estimates of Variable Risk Premia for 180-day Australian Bank Bills* |
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| Authors: | A DAVID McDONALD JON D KENDALL TIM LA RIDLEY |
| Institution: | Department of Economics, University of Tasmania, Hobart, Tasmania Under the assumption of rational expectations and constant absolute risk aversion, risk premia are estimated for 180-day Australian bank bills. GARCH-M parameter estimates support the view that the term premium is made up of a constant component and a variable risk premium. |
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