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Estimating the risk premium in a multi-sector stochastic endogenous growth model
Jakobsen, Jan Bo; Podivinsky, Jan M. - 1993
Persistent link: https://www.econbiz.de/10000894314
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Recent estimates of time-variation in the conditional variance and in the exchange risk premium
Frankel, Jeffrey A. - 1987
Persistent link: https://www.econbiz.de/10000730437
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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc (contributor) - 1993
Persistent link: https://www.econbiz.de/10000875177
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Conditional betas and the price of risk in a thin asset market : a sensitivity analysis
Malkamäki, Markku - 1992
Persistent link: https://www.econbiz.de/10000136066
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Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
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Estimates of foreign exchange risk premia : a pricing kernel approach
Cappiello, Lorenzo; Panigirtzoglou, Nikolaos - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 475-495
Persistent link: https://www.econbiz.de/10003776715
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Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond; Robotti, Cesare; Shanken, Jay - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10003818202
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A note on the estimation of asset pricing models using simple regression betas
Kan, Raymond; Robotti, Cesare - 2009
Persistent link: https://www.econbiz.de/10003818204
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Pricing model performance and the two-pass cross-sectional regression methodology
Kan, Raymond; Robotti, Cesare; Shanken, Jay - 2009
Persistent link: https://www.econbiz.de/10003852918
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Joint estimation of factor sensitivities and risk premia for the arbitrage pricing theory
Burmeister, Edwin; McElroy, Marjorie B. - In: The journal of finance : the journal of the American … 43 (1988) 3, pp. 721-733
Persistent link: https://www.econbiz.de/10003506580