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The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model
(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 ...
Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off
(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 ...