The shape of the risk premium: Evidence from a semiparametric generalized autoregressive conditional heteroscedasticity model

Journal of Business and Economic Statistics

Volumn 21, Issue 3, 2003, Pages 354-367

  Linton, Oliver ^a   Perron, Benoit ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b Canada H3A 2T7   (Canada)

Author keywords

Asset pricing; Autoregressive conditional heteroscedasticity; Backfilling; Fourier series; Kernel; Risk premium

Indexed keywords

EID: 0042265051     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500103288619052     Document Type: Article

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