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Model comparison with sharpe ratios
Barillas, Francisco; Kan, Raymond; Robotti, Cesare; … - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 6, pp. 1840-1874
Persistent link: https://www.econbiz.de/10012307548
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10005025630
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
KAN, RAYMOND; ROBOTTI, CESARE; SHANKEN, JAY - In: Journal of Finance 68 (2013) 6, pp. 2617-2649
Persistent link: https://www.econbiz.de/10010722071
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The exact distribution of the Hansen-Jagannathan bound
Kan, Raymond; Robotti, Cesare - In: Management science : journal of the Institute for … 62 (2016) 7, pp. 1915-1943
Persistent link: https://www.econbiz.de/10011518611
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Comment on: pseudo-true SDFs in conditional asset pricing models
Kan, Raymond; Robotti, Cesare - In: Journal of financial econometrics 18 (2020) 4, pp. 729-735
Persistent link: https://www.econbiz.de/10012405518
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Rejoinder on: pseudo-true SDFs in conditional asset pricing models
Antoine, Bertille; Proulx, Kevin; Renault, Eric - In: Journal of financial econometrics 18 (2020) 4, pp. 776-790
Persistent link: https://www.econbiz.de/10012405523
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On the properties of the constrained Hansen-Jagannathan distance
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of empirical finance 36 (2016), pp. 121-150
Persistent link: https://www.econbiz.de/10011662813
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Too good to be true? Fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of financial economics 132 (2019) 2, pp. 451-471
Persistent link: https://www.econbiz.de/10012136929
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Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometric reviews 37 (2018) 6/10, pp. 695-718
Persistent link: https://www.econbiz.de/10012040404
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Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596