The uncertainties about the relationships risk-return-volatility in the Spanish stock market (Q2430228)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The uncertainties about the relationships risk-return-volatility in the Spanish stock market |
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The uncertainties about the relationships risk-return-volatility in the Spanish stock market (English)
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6 April 2011
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A time series of the Spanish stock market IBEX-35 index in the period January 1994 -- December 2001 is investigated. A EGARCH-M(1,1) model is considered for the market risk premium and risk free returns. Nonparametric and maximum quasi-likelihood (under the Gaussianity of returns assumption) estimators of the model parameters are evaluated. A bootstrap-type procedure is used to test the significance of the parameters. In both parametric and nonparametric models the parameter which measures the relation between the market risk premium and its volatility was found to be non-significant.
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market risk premium
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nonparametric estimation
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bootstrap
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