Hiemstra, Craig; Kramer, Charles - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 3, pp. 61-76
Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of...
