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Multivariate tests of a continuous time equilibrium arbitrage pricing theory with conditional heteroskedasticity and jumps

Ho, Mun S.; Perraudin, William R. M.; Sørensen, Bent E. - 1992

Persistent link: https://www.econbiz.de/10000838347

Multivariate tests of a continuous time equilibrium arbitrage pricing theory with conditional heteroscedasticity and jumps

Ho, Mun S.; Perraudin, William R. M.; Sørensen, Bent E. - 1992

Persistent link: https://www.econbiz.de/10000137146

Finding cointegration rank in high dimensional systems using the Johansen test : an illustration using data based Monte Carlo simulations

Ho, Mun S. - In: The review of economics and statistics 78 (1996) 4, pp. 726-732

Persistent link: https://www.econbiz.de/10001209682

A continuous-time arbitrage-pricing model with stochastic volatility and jumps

Ho, Mun S. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 31-43

Persistent link: https://www.econbiz.de/10001203183

Public capital and long-run productivity in US manufacturing

Ho, Mun S. - 1993

Persistent link: https://www.econbiz.de/10000900486

Multivariate tests of a continous time equilibrium arbitrage pricing theory with conditional heteroskedasticity and jumps

Ho, Mun S. - 1992

Persistent link: https://www.econbiz.de/10013444286

Finding Cointegration Rank in High Dimensional Systems Using the Johansen Test: An Illustration Using Data Based Monte Carlo Simulations

Ho, Mun S.; Sørensen, Bent E. - In: The review of economics and statistics 78 (1996) 4, pp. 726-732

Persistent link: https://www.econbiz.de/10007319096

Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps

Ho, Mun S.; Perraudin, William R. M.; Sørensen, Bent E. - Økonomisk Institut, Københavns Universitet

This paper uses ML and GMM techniques to estimate systems of stochastic differential equations that describe the behavior of stock returns. We test restrictions implied by a continuous time asset pricing model that builds on the work of Chamberlain (1998). The stochastic differential equations...

Persistent link: https://www.econbiz.de/10005749689