9310331 Foster This collaborative project continues a line of research aimed at developing better measures of risk in financial markets. The investigators have already developed a number of promising procedures for characterizing time-varying risk in asset markets. Two of the most popular strategies adopted by researchers and practitioners to accommodate this time- varying risk are rolling regressions and ARCH models. The research to be undertaken with this award will involve further development and refining of both these strategies. This continued line of research is extremely valuable because measuring asset riskiness is of fundamental importance both for investment theory and practice. ***
