Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates
Year of publication: |
1988
|
---|---|
Authors: | McElroy, M. B ; Burmeister, E. |
Publisher: |
Journal of Business & Economic Statistics |
Subject: | Asset pricing models | Capital Asset Pricing Model | expected asset returns | linear factor model | macroeconomic factors | nonlinear seemingly unrelated regression |
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