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

Now showing items 1-2 of 2

  • Jumps in the Volatility of Financial Markets 

    Perron, Benoit (Université de Montréal. Département de sciences économiques., 1999)
    Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and ...

  • 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 ...