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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
Persistent link: https://www.econbiz.de/10009580154
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
Persistent link: https://www.econbiz.de/10009535935
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A stochastic model of self-fulfilling crises in fixed exchange rate systems
Adrian, Tobias; Gros, Daniel - In: International journal of finance & economics : IJFE 4 (1999) 2, pp. 129-146
Persistent link: https://www.econbiz.de/10001434313
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …
Persistent link: https://www.econbiz.de/10011630054
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …
Persistent link: https://www.econbiz.de/10011646274
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
Persistent link: https://www.econbiz.de/10011670177
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of financial econometrics 22 (2024) 2, pp. 407-460
Persistent link: https://www.econbiz.de/10014526327
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10010361374
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the …
Persistent link: https://www.econbiz.de/10011405221