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Mispricing, returns and the quest for parsimony
Qiu, Wanling - In: Finance research letters 37 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012484942
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Macro-finance decoupling : robust evaluations of macro asset pricing Models
Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng - 2020
Persistent link: https://www.econbiz.de/10012299129
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A literature review of new methods in empirical asset pricing : omitted-variable and errors-in-variable bias
Collot, Solène; Hemauer, Tobias - In: Financial markets and portfolio management 35 (2021) 1, pp. 77-100
Persistent link: https://www.econbiz.de/10012495901
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In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua - In: Journal of financial economics 155 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015072280
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What Difference Fat Tails Make : A Bayesian MCMC Estimation of Empirical Asset Pricing Models
Glabadanidis, Paskalis - 2017
This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in … use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three …
Persistent link: https://www.econbiz.de/10012949435
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Profitability of trading in the direction of asset price jumps : analysis of multiple assets and frequencies
Fičura, Milan - In: Prague economic papers : a bimonthly journal of … 28 (2019) 4, pp. 385-401
Persistent link: https://www.econbiz.de/10012130976
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Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667
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Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924
Persistent link: https://www.econbiz.de/10010204244