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The Shape of the Risk Premium: Evidence From a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model.
- Source :
- Journal of Business & Economic Statistics; Jul2003, Vol. 21 Issue 3, p354-357, 4p, 5 Charts, 18 Graphs
- Publication Year :
- 2003
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 07350015
- Volume :
- 21
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Journal of Business & Economic Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 10262964
- Full Text :
- https://doi.org/10.1198/073500103288619052