Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/238928
Authors: 
Hevia, Constantino
Sola, Martin
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 11 [Year:] 2018 [Issue:] 4 [Pages:] 1-22
Publisher: 
MDPI, Basel
Abstract: 
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk premiums.
Subjects: 
bond risk premia
affine term structure models
risk prices
JEL: 
E43
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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