Comparison of time-series of risk aversion between Singapore, Hong Kong and USA
This paper aims to estimate and compare the time series of risk aversion for Singapore, Hong Kong and United States of America (USA). Like Chou, Engle and Kane, (1992), or CEK, we used the time-varying parameter (TVP) GARCH-M model to calculate the historical series of risk aversion parameter. For c...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/10358 |