Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure

DOI10.1287/MNSC.43.3.371zbMATH Open0900.90038OpenAlexW2094659867MaRDI QIDQ4367197FDOQ4367197

Authors: Jacob Boudoukh, Matthew Richardson, Robert F. Whitelaw 

Publication date: 4 June 1998

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.43.3.371

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited In (3)

• Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
• Using a genetic algorithm-based RAROC model for the performance and persistence of the funds
• Revisiting the intertemporal risk–return relation: asymmetrical effect of unexpected volatility shocks

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