Is the relative risk aversion parameter constant over time? A multi-country study
Is the relative risk aversion parameter constant over time? A multi-country study
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DOI：
10.1007/s00181-009-0281-y
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发表时间：
2010-06
影响因子：
3.2
通讯作者：
Samarjit Das;Nityananda Sarkar
中科院分区：
文献类型：
--
作者：
Samarjit Das;Nityananda Sarkar
本文提出了一种基于信息矩阵的检验方法，用于检验GARCH-M模型中相对风险规避参数不变的假设。然后进行了详细的蒙特卡罗研究，以评估该测试在尺寸和功率方面的性能。此外，还提出了一种自举技术来纠正小样本中的过大问题。然后将所提出的检验应用于五个重要国家的股票市场回报的时间序列来检验这一重要假设是否成立，并发现相对风险厌恶参数对所有五个时间序列都不是时不变的。
In this paper, an information matrix (IM)-based test is developed for testing the hypothesis of constant relative risk aversion parameter in the GARCH-M set up. A detailed Monte Carlo study is then carried out to evaluate the performance of this test in terms of size and power. Further, a bootstrap technique is suggested to correct the over-size problem found in small samples. The proposed test is then applied to the time series of returns on stock markets of five important countries to examine whether this important hypothesis holds or not, and it is found that the relative risk aversion parameter is not time invariant for all the five time series.