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Perfil de Coyuntura Económica
versión On-line ISSN 1657-4214
Resumen
BASTIDAS M., Alexander. Uncertainty of risk premium in Colombian stock market 1991-2007. Perf. de Coyunt. Econ. [online]. 2008, n.12, pp.159-178. ISSN 1657-4214.
This paper estimates the risk premium uncertainty in the Colombian stock market using the arbitrage asset pricing model with stochastic coefficients in order to find the uncertainty, not through the random error term, but through the coefficients.
Palabras clave : uncertainty; risk premium; stock market; Kalman filter.