The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model.
Year of publication: |
1999
|
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Authors: | LINTON, Olivier ; PERRON, Benoît |
Institutions: | Département de Sciences Économiques, Université de Montréal |
Subject: | ARCH models | asset icing | backfitting | Fourier series | kernel | risk emium |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 35 pages |
Classification: | C20 - Econometric Methods: Single Equation Models. General ; G24 - Investment Banking; Venture Capital; Brokerage ; G10 - General Financial Markets. General |
Source: |
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The shape of the risk premium: evidence from a semiparametric GARCH model
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