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Econometrics of testing for jumps in financial economics using bipower variation

Barndorff-Nielsen, Ole E. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001834989

Conditionally parametric fits for CAPM betas

Abberger, Klaus (contributor) - 2004

The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable …

Persistent link: https://www.econbiz.de/10002527952

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …

Persistent link: https://www.econbiz.de/10001731828

Testing mean-variance efficiency in CAPM with possibly non-Gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Christine (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947329

Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model...

Persistent link: https://www.econbiz.de/10014048909

Pricing Under Estimation Risk

Neuberg, Richard - 2016

Financial product prices often depend on unknown parameters. Their estimation introduces the risk that a better informed counterparty may strategically pick mispriced products. Understanding estimation risk, and how to properly price it, is essential. We discuss how total estimation risk can be...

Persistent link: https://www.econbiz.de/10012996363

CAPM : A Covariance Adjustment Approach for Estimating Market Beta

Kolari, James W. - 2016

Due to a lack of supporting evidence, market beta in the widely-acclaimed Capital Asset Pricing Model (CAPM) is … traditional market beta. We conclude that observed market beta provides renewed empirical support for CAPM theory …

Persistent link: https://www.econbiz.de/10012997002

Semi-Parametric Restrictions on Production-Based Asset Pricing Models

Chen, Andrew Y. - 2016

Matching asset price volatility in production economies is difficult. This paper shows that this difficulty can be summarized by three nested restrictions. First, matching asset price volatility requires volatile investment returns. Second, volatile investment returns require either large...

Persistent link: https://www.econbiz.de/10012997483

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Badescu, Alex - 2016

In this paper we study a conditional version of the Wang transform in the context of discrete GARCH models and their diffusion limits. Our first contribution shows that the conditional Wang transform and Duan's generalized local risk-neutral valuation relationship based on equilibrium...

Persistent link: https://www.econbiz.de/10013003225

Nonnested Procedures in Econometric Tests of Asset Pricing Theories

Elyasiani, Elyas - 2016

In this paper nonnested tests are used to contrast the performance of the capital asset pricing (CAPM) and consumption …-82 the CAPM dominates the CCAPM, during 1978-87 the results are mixed, and during 1983-92 the CCAPM dominates. The finding in … favor of the CCAPM in 1983-92 conflicts with much of the existing literature, which favors the CAPM …

Persistent link: https://www.econbiz.de/10013006317