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Examining heterogeneity in implied equity risk premium using penalized splines

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Author Info
Michael Wegener ()
Göran Kauermann ()
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File URL: http://hdl.handle.net/10.1007/s10182-007-0052-z
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Article provided by Springer in its journal AStA Advances in Statistical Analysis.

Volume (Year): 92 (2008)
Issue (Month): 1 (February)
Pages: 35-56
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Handle: RePEc:spr:alstar:v:92:y:2008:i:1:p:35-56

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Related research
Keywords: Equity risk premium Penalized splines Subject-specific curves Linear mixed models Nonparametric estimation

References listed on IDEAS
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  1. Lessard, Donald R, 1973. "International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries," Journal of Finance, American Finance Association, vol. 28(3), pages 619-33, June. [Downloadable!] (restricted)
  2. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November. [Downloadable!] (restricted)
  3. O. Linton & E. Mammen & J. Nielsen & C. Tanggaard, . "Estimating Yield Curves by Kernel Smoothing Methods," Sonderforschungsbereich 373 1999-54, Humboldt Universitaet Berlin.
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  4. Charles M. C. Lee & James Myers & Bhaskaran Swaminathan, 1999. "What is the Intrinsic Value of the Dow?," Journal of Finance, American Finance Association, vol. 54(5), pages 1693-1741, October. [Downloadable!] (restricted)
  5. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March. [Downloadable!] (restricted)
  6. Long Ngo & Matthew P. Wand, . "Smoothing with Mixed Model Software," Journal of Statistical Software, American Statistical Association, vol. 9(i01). [Downloadable!]
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This page was last updated on 2008-9-27.

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