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Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors … the stochastic discount factor (mt) used to price securities within inter-temporal asset pricing models. We show that risk … errors in the statistical factor model with mt: Secondly we compare estimates of factor risk premia using portfolios with the …

Persistent link: https://www.econbiz.de/10012499632

Learning, structural instability and present value calculations

Pesaran, M. Hashem (contributor); … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10003363854

Learning, structural instability and present value calculations

Pesaran, M. Hashem (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003328204

Learning, structural instability and present value calculations

Pesaran, M. Hashem (contributor); … - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10003300967

Learning, structural instability, and present value calculations

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - In: Econometric reviews 26 (2007) 2, pp. 253-288

Persistent link: https://www.econbiz.de/10003509128

Learning, structural instability and present value calculations

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10003276580

Learning, Structural Instability and Present Value Calculations

Pesaran, M. Hashem - 2016

Persistent link: https://www.econbiz.de/10012991185

Oil investment in the North Sea

Favero, Carlo A. - In: Economic modelling 11 (1994) 3, pp. 308-329

Persistent link: https://www.econbiz.de/10001166739

Oil investment in the North Sea

Favero, Carlo A.; Pesaran, M. Hashem - 1992

Persistent link: https://www.econbiz.de/10000137140

The cost efficiency of UK debt management : a recursive modelling approach

Coe, Patrick J.; Pesaran, M. Hashem; Vahey, Shaun P. - 2000

Persistent link: https://www.econbiz.de/10001492678

A service of the