Now showing items 1-1 of 1
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 ...