English, Article, Journal or magazine article edition: The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model Benoit Perron; Oliver Linton

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Bookmark: http://trove.nla.gov.au/version/45227
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model
Author
  • Benoit Perron
  • Oliver Linton
Physical Description
  • preprint
Notes
  • We examine the relationship between the risk premium on the S&​P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For monthly S&​P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect as documented by others.
  • RePEc:fmg:fmgdps:dp514
Language
  • English
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