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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 ...
Jumps in the Volatility of Financial Markets
(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 ...