Browsing Faculté des arts et des sciences – Département de sciences économiques by Subject "risk premium"

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  • Essays in financial econometrics and asset pricing 

    Tewou, Kokouvi (2020-07-22)
    Cette thèse est organisée en trois chapitres. Dans le premier chapitre, qui est co-écrit avec Ilze Kalnina, nous proposons un test statistique pour évaluer l’adéquation de la volatilité idiosyncratique comme mesure du risque idioyncratique. Nous ...

  • Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off 

    Perron, Benoit (Université de Montréal. Département de sciences économiques., 1999)
    Recent work shows that a low correlation between the instruments and the included variables leads to serious inference problems. We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors ...

  • The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model 

    LINTON, Olivier; Perron, Benoit (Université de Montréal. Département de sciences économiques., 1999)
    We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is ...