Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "backfitting"

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  • 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 ...