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Joint estimation of factor sensitivities and risk premia for the arbitrage pricing theory
Burmeister, Edwin; McElroy, Marjorie B. - In: The journal of finance : the journal of the American … 43 (1988) 3, pp. 721-733
Persistent link: https://www.econbiz.de/10003506580
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Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond; Robotti, Cesare; Shanken, Jay - In: The journal of finance : the journal of the American … 68 (2013) 6, pp. 2617-2649
Persistent link: https://www.econbiz.de/10010237376
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Accounting for forward rates in markets for foreign currency
Backus, David - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1887-1908
Persistent link: https://www.econbiz.de/10001155919
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Assessing goodness-of-fit of asset pricing models : the distribution of the maximal R2
Foster, F. Douglas - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 591-607
Persistent link: https://www.econbiz.de/10001222441
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Nonparametric estimation of state-price densities implicit in financial asset prices
Aït-Sahalia, Yacine - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 499-547
Persistent link: https://www.econbiz.de/10001238271
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Sequential tests of the arbitrage theory : a comparison of principal components and maximum likelihood factors
Shukla, Ravi - In: The journal of finance : the journal of the American … 45 (1990) 5, pp. 1541-1564
Persistent link: https://www.econbiz.de/10001103794
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Tests of the CAPM with time-varying covariances : a multivariate GARCH approach
Ng, Lilian K. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1507-1521
Persistent link: https://www.econbiz.de/10001112556
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Transformed securities and alternative factor structures
Huang, Roger D. - In: The journal of finance : the journal of the American … 47 (1992) 1, pp. 397-405
Persistent link: https://www.econbiz.de/10001124485
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An asymptotic theory for estimating beta-pricing models using cross-sectional regression
Jagannathan, Ravi - In: The journal of finance : the journal of the American … 53 (1998) 4, pp. 1285-1309
Persistent link: https://www.econbiz.de/10001247200
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Corrections for trading frictions in multivariate returns
Korkie, Robert M. - In: The journal of finance : the journal of the American … 44 (1989) 5, pp. 1421-1434
Persistent link: https://www.econbiz.de/10001080349