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Factor analysis with large panels volatility proxies

Ghysels, Eric - 2014

Persistent link: https://www.econbiz.de/10010382083

L'analyse économétrique et la saisonnalité

Ghysels, Eric - In: L' Actualité économique : revue trimest. 70 (1994) 1, pp. 43-62

Persistent link: https://www.econbiz.de/10001164056

A note on the asymptotic covariance in Fama-MacBeth regression

Jagannathan, Ravi - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 799-801

Persistent link: https://www.econbiz.de/10001238217

An asymptotic theory for estimating beta-pricing models using cross-sectional regression

Jagannathan, Ravi - In: The journal of finance : the journal of the American … 53 (1998) 4, pp. 1285-1309

Persistent link: https://www.econbiz.de/10001247200

Correcting for heteroscedasticity in tests for market timing ability

Breen, William - In: The journal of business : B 59 (1986) 4, pp. 585-598

Persistent link: https://www.econbiz.de/10001014975

A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1

Basak, Gopal K. - 2004

We develop a jackknife estimator for the conditional variance of a minimum-tracking- error-variance portfolio constructed using estimated covariances. We empirically evaluate the performance of our estimator using an optimal portfolio of 200 stocks that has the lowest tracking error with respect...

Persistent link: https://www.econbiz.de/10012468246