Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10000620897
Persistent link: https://www.econbiz.de/10001186239
Persistent link: https://www.econbiz.de/10011817659
The authors first discuss performance evaluation using stochastic discount factors and relate it to traditional mean-variance analysis. They then use Monte Carlo experiments to examine the properties of various general method of moment (GMM) estimators. The test statistics are fairly well...
Persistent link: https://www.econbiz.de/10005725822