\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)\)

238.052*

−69.980

−111.617

−82.002

−55.257

−434.596*

−33.416


[155.262]

[103.549]

[110.291]

[112.052]

[108.330]

[290.049]

[88.693]

\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)*{dp}_{t}\)

58.169*

−12.174

−25.785

−23.436

−14.114

−123.582*

−8.220


[37.989]

[23.571]

[24.536]

[26.110]

[23.680]

[79.216]

[23.181]

\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)*d.{ys}_{t}\)

−1245.245

−1533.296

−2908.650*

1235.988

3613.389**

−6344.461*

−832.865


[1677.153]

[3471.034]

[2199.215]

[1388.052]

[1660.386]

[4052.069]

[905.723]

\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)*d.r_{f,t}\)

−1727.834*

−4939.896*

−2991.115

−2342.645

5548.407***

−4157.170

94.303


[1283.600]

[3510.700]

[3678.825]

[2073.427]

[1957.128]

[3612.278]

[967.194]

\(\widetilde {Cov_{t}} \left (r_{t+1}^{\omega }, \triangle e_{t+1} \right)* baa\mathrm {\_}{aaa}_{t}\)

−1776.649*

866.314

698.838

−2345.300

784.905

−382.272

202.512


[1188.008]

[2014.862]

[1490.346]

[2138.844]

[2459.814]

[1902.112]

[556.533]

Cons

0.001

0.002

−0.000

0.002***

0.002***

−0.008**

−0.001


[0.001]

[0.002]

[0.001]

[0.001]

[0.001]

[0.004]

[0.001]

Jstatistic

1.142

4.532

3.373

4.474

2.480

3.932

5.919

p value (Jstat.)

0.767

0.209

0.338

0.215

0.479

0.269

0.116

χ^{2}statistic

5.194

4.624

7.656

9.964

15.077

2.881

5.603

p value (χ^{2}stat.)

0.268

0.328

0.105

0.041

0.005

0.578

0.231
