Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Year of publication: |
[2020]
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Authors: | Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda |
Publisher: |
[Montréal] : CIRANO |
Subject: | Capital Asset Pricing Model | CAPM | Arbitrage Pricing Theory | Black | Fama-French Factors | Meanvariance Efficiency | Non-Normality | Weak Identification | Identification-Robust | Projection | Fieller | Multivariate Linear Regression | Uniform Linear Hypothesis | Exact Test | Monte Carlo Test | Bootstrap | Nuisance Parameters | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
Extent: | 1 Online-Ressource (circa 58 Seiten) Illustrationen |
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Series: | Cahier scientifique. - [Montréal] : [CIRANO], ISSN 2292-0838, ZDB-ID 3019840-9. - Vol. 2020s, 30 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
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