The Pástor-Stambaugh empirical model revisited : evidence from robust instruments
François-Eric Racicot, William F. Rentz
| Year of publication: |
September 2015
|
|---|---|
| Authors: | Racicot, François-Éric ; Rentz, William F. |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 16.2015, 5, p. 329-341
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| Subject: | GMM | liquidity risk | Pástor-Stambaugh model | robust instruments | specification errors | weak instrumental variable test | IV-Schätzung | Instrumental variables | Momentenmethode | Method of moments | Theorie | Theory | Robustes Verfahren | Robust statistics | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/jam.2015.22 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011416607