The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model
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- Benoit Perron & Oliver Linton, 2004. "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers dp514, Financial Markets Group.
- Linton, Oliver & Perron, Benoit, 2000. "The shape of the risk premium: evidence from a semiparametric GARCH model," LSE Research Online Documents on Economics 24769, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
- Oliver Linton & Anisha Ghosh, 2007.
"Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error,"
FMG Discussion Papers
dp605, Financial Markets Group.
- Ghosh, Anisha & Linton, Oliver, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," UC3M Working papers. Economics we094928, Universidad Carlos III de Madrid. Departamento de Economía.
- Ghosh, Anisha & Linton, Oliver, 2007. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics 24506, London School of Economics and Political Science, LSE Library.
More about this item
KeywordsARCH models; asset icing; backfitting; Fourier series; kernel; risk emium;
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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