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The Shape of the Risk Premium: Evidence From a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model
Linton, Oliver; Perron, Benoit - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 354-367
Persistent link: https://www.econbiz.de/10008215397
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An empirical analysis of nonstationarity in a panel of interest rates with factors
Moon, Hyungsik Roger; Perron, Benoit - In: Journal of applied econometrics 22 (2007) 2, pp. 383-400
Persistent link: https://www.econbiz.de/10007723963
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Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith - In: Journal of applied econometrics 17 (2002) 6, pp. 617-640
Persistent link: https://www.econbiz.de/10006970939
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Evaluating Value-at-Risk Models via Quantile Regression
Piazza Gaglianone, Wagner; Renato Lima, Luiz; Linton, Oliver - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 150-161
Persistent link: https://www.econbiz.de/10008817708