Retesting the estimation of a utility-based asset pricing model using normal mixture GARCH (1, 1)

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Please use this identifier to cite or link to this item: https://repository.iimb.ac.in/handle/123456789/7829

DC Field	Value	Language
dc.contributor.author	Gupta, Rohit
dc.contributor.author	Vinu C T
dc.date.accessioned	2017-04-05T09:54:49Z
dc.date.accessioned	2019-05-27T08:27:55Z	-
dc.date.available	2017-04-05T09:54:49Z
dc.date.available	2019-05-27T08:27:55Z	-
dc.date.issued	2015
dc.identifier.other	WP_IIMB_499	-
dc.identifier.uri	http://repository.iimb.ac.in/handle/123456789/7829	-
dc.description.abstract	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), Mixture GARCH (1, 1). Simulation analysis has been used to compare MLE and Bayesian estimates. Empirical results using GARCH model are presented using market rates of returns and risk-free rates over the period 1941 to 2010.
dc.language.iso	en_US
dc.publisher	Indian Institute of Management Bangalore	-
dc.relation.ispartofseries	IIMB Working Paper-499	-
dc.subject	Bayesian	-
dc.subject	Risk aversion	-
dc.subject	Normal mixture	-
dc.subject	MLE	-
dc.subject	Simulation	-
dc.title	Retesting the estimation of a utility-based asset pricing model using normal mixture GARCH (1, 1)
dc.type	Working Paper
dc.pages	32p.
Appears in Collections:	2015

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