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Complex times : asset pricing and conditional moments under non-affine diffusions

Kimmel, Robert (contributor) - 2007

Persistent link: https://www.econbiz.de/10003477020

Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis

Szerszen, Pawel J. - 2009

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A skeptical appraisal of asset pricing tests

Lewellen, Jonathan; Nagel, Stefan; Shanken, Jay - In: Journal of financial economics 96 (2010) 2, pp. 175-194

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Liquidity biases in asset pricing tests

Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina - In: Journal of financial economics 96 (2010) 2, pp. 215-237

Persistent link: https://www.econbiz.de/10003979145

A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation

Li, Minqiang - In: Journal of economic dynamics & control 34 (2010) 2, pp. 132-157

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A note on the coefficient of determination in models with infinite variance variables

Kurz-Kim, Jeong-Ryeol; Loretan, Mico - 2007

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Three essays on financial econometrics

Yu, Jialin - 2005

Persistent link: https://www.econbiz.de/10003555366

Die Schätzung erwarteter Renditen in der modernen Kapitalmarkttheorie : implizit erwartete Renditen und ihr Einsatz in Kapitalmarktmodell-Tests und Portfoliooptimierung

Hagemeister, Meike Martina - 2010 - 1. Aufl.

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Impact of outlier returns on the CAPM model : an investigation using the Huber's M Robust estimation method

Theodossiou, Alexandra; Theodossiou, Panayiotis - In: Computational techniques in economics and finance, (pp. 77-88). 2011

Persistent link: https://www.econbiz.de/10009579659

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10011431982