Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - In: The Quarterly Review of Economics and Finance 53 (2013) 2, pp. 87-111
This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal two-pass approach introduced by Fama and MacBeth (1973). The second approach is based on a Bayesian...