David Backus - Researcher Profile | RDL Research Database

Publications

2 shown

Theoretical Relations between Risk Premiums and Conditional Variances

David Backus , Allan W. Gregory

Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroskedasticity-in-mean, attempt to exploit a relation between risk premiums a...

1993 Journal of Business and Economic Stat... 52 citations

Theoretical Relations Between Risk Premiums and Conditional Variances

David Backus , Allan W. Gregory

Many statistical models of time-varying risk premiums, including the autoregressive conditional heteroscedasticity (ARCH)-in-mean, attempt to exploit a relation between risk pre...

1993 Journal of Business and Economic Stat... 206 citations

Frequent Co-Authors

Allan W. Gregory

Queen's University

Researcher Info

h-index: 2
Publications: 2
Citations: 258
Institution: New York University

External Links

Google Scholar

Impact Metrics

h-index 2

h-index: Number of publications with at least h citations each.