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The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model

  • Linton, Oliver
  • Perron, Benoit

We examine the relationship between the risk premium on the Center for Research on Security Prices (CRSP) value-weighted index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric and the conditional mean is an arbitrary function of the conditional variance. For monthly CRSP value-weighted excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic.

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 21 (2003)
Issue (Month): 3 (July)
Pages: 354-67

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Handle: RePEc:bes:jnlbes:v:21:y:2003:i:3:p:354-67
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