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Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha; Linton, Oliver - 2019
an input in the second step to estimate the parameters characterizing the risk-return tradeoff via a GMM approach. We …
Persistent link: https://www.econbiz.de/10012128650
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Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha; Linton, Oliver - In: Journal of empirical finance 74 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
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Semiparametric estimation of a characteristic-based facto model of common stock returns
Connor, Gregory (contributor); Linton, Oliver (contributor) - 2006
Persistent link: https://www.econbiz.de/10003375920
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Efficient estimation of a semiparametric characteristic-based factor model of security returns
Connor, Gregory (contributor); Hagmann, Matthias (contributor) - 2007
Persistent link: https://www.econbiz.de/10003576859
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Efficient estimation of a semiparametric characteristic-based factor model of security returns
Connor, Gregory (contributor); Hagmann, Matthias (contributor) - 2007
explaining equity return comovements.We test the multifactor beta pricing theory against the Capital Asset Pricing model using a …
Persistent link: https://www.econbiz.de/10003550858
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Efficient estimation of a semiparametric characteristic-based factor model of security returns
Connor, Gregory (contributor); Hagmann, Matthias (contributor) - 2007
Persistent link: https://www.econbiz.de/10003563511
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Nonparametric predictive regressions for stock return brediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019
Persistent link: https://www.econbiz.de/10012698837
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Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Park, Sujin; Hong, Seok Young; Linton, Oliver - In: Journal of econometrics 191 (2016) 2, pp. 325-347
Persistent link: https://www.econbiz.de/10011610563
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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018
nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …
Persistent link: https://www.econbiz.de/10011775136
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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2017
Persistent link: https://www.econbiz.de/10011782226