Campbell, Sean D.; Li, Canlin - Federal Reserve Board (Board of Governors of the … - 2004
(WLS) and generalized autoregressive conditional heteroskedasticity (GARCH) estimators of the difference in expected excess …. Across the different WLS and GARCH estimates we find that the point estimates are considerably smaller than the OLS estimates … and fluctuate considerably across different sub samples. We show that the large difference between the WLS, GARCH and OLS …