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credit yieldstock marketmarkov modelmodel heteroskedasticityheteroskedasticity riskrisk learninglearning stockslope credityield curvecurve speculativespeculative gradegrade issuersportfolio managementportfolio selectionissuers slopeexcess returnparameter estimatesrisk premiumtime statesets bondscredit qualitymarkov kettemarkov chaincorporate bondcredit riskmarket slopeissuers dynamicdynamic linearlinear modelmodel determinantsdeterminants yieldyield spreadsspreads fixedfixed incomeincome securitiessecurities markovmarket markovmarket disseminationdissemination informationinformation riskrisk premiapremia stockmarket assumedassumed timetime varyingvarying riskrisk presentpresent modelmodel variancevariance timetime excessreturn portfolioportfolio dependsdepends statestate variablevariable generatedgenerated orderorder markovmarkov processprocess modelmodel realizationrealization statestate knownknown economiceconomic agentsagents unknownunknown econometricianeconometrician estimatedestimated parameterestimates implyimply timetime riskpremium declinesdeclines timetime variancevariance returnsreturns risesallow agentsagents uncertainuncertain timeagents makeprior distributiondistribution timebased pastrealizations excess
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