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Variable risk and the term structure

dc.contributor.authorAbbondante, Paul J.en
dc.contributor.departmentEconomicsen
dc.date.accessioned2016-05-23T15:20:01Zen
dc.date.available2016-05-23T15:20:01Zen
dc.date.issued1978en
dc.description.abstractThe variable risk hypothesis states that if individuals do perceive a change in risk, and if this change is taken into account in their decision-making process, then it seems plausible to include some measure of risk as a variable in empirical studies where risk is a factor. Some reasonable measures of risk are proposed based on the concept of a moving information set where the information used to evaluate risk is changing.over time. The resulting measure of risk is the moving coefficient of variation. The variable risk hypothesis is then applied to the term structure of interest rates. The empirical testing generates further support for the liquidity and term premium hypotheses, while a test of the segmented markets hypothesis using this measure of risk is not supportive.en
dc.description.degreePh. D.en
dc.format.extentvi, 137 leaveen
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttp://hdl.handle.net/10919/71130en
dc.language.isoenen
dc.publisherVirginia Polytechnic Institute and State Universityen
dc.relation.isformatofOCLC# 40274233en
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subject.lccLD5655.V856 1978.A23en
dc.titleVariable risk and the term structureen
dc.typeDissertationen
dc.type.dcmitypeTexten
thesis.degree.disciplineEconomicsen
thesis.degree.grantorVirginia Polytechnic Institute and State Universityen
thesis.degree.leveldoctoralen
thesis.degree.namePh. D.en

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