Browsing Theses and Dissertations by Author "Vundi, Zacchaeus N"
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"Time-varying Risk Premia" an Empirical Investigation on the Nairobi Stock Exchange
Vundi, Zacchaeus N (University of NairobiDepartment of Economics, 2005-09-09)In this study, the price of risk on the Nairobi stock market was estimated using a conditional asset pricing model that allows for time variation in the risk. Two different GARCH (1, 1)-M models are used in the econometric ...