THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY
Year of publication: |
2008-05
|
---|---|
Authors: | Sentana, Enrique |
Institutions: | Centro de Estudios Monetarios y Financieros (CEMFI) |
Subject: | Elliptical distributions | exogeneity | financial returns | generalised method of moments | linear factor pricing | maximum likelihood | portfolio choice | stochastic discount factor |
-
A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS
Sentana, Enrique, (2008)
-
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS
Peñaranda, Francisco, (2010)
-
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Peñaranda, Francisco, (2010)
- More ...
-
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION
Fiorentini, Gabriele, (2015)
-
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION
Mencía, Javier, (2015)
-
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS
Fiorentini, Gabriele, (2014)
- More ...