Abstract
The relationships between the market risk premium, its conditional variance and the risk-free rate in the Spanish stock market are studied in this paper. Using daily data, the above mentioned relations are analyzed by quasi maximum likelihood for an EGARCH-M(1,1) model with normal innovations and by nonparametric maximum likelihood for a semiparametric EGARCH-M(1,1) model with arbitrarily distributed innovations. It is worth mentioning that the conclusions differ from one model to the other.
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Cao, R., de las Heras, A. & Saavedra, A. The uncertainties about the relationships risk–return–volatility in the Spanish stock market. Comput Stat 24, 113–126 (2009). https://doi.org/10.1007/s00180-008-0141-9
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DOI: https://doi.org/10.1007/s00180-008-0141-9