This paper shows that the consumption‐based capital asset pricing model (C-CAPM) with low‐probability disaster risk …

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 …

This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that … asymptotically equivalent to maximum likelihood estimation. Further, we note that our estimator remains easy-to-compute and …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance …

This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE … shown that the multi-scale beta estimation approach is useful in certain cases …

This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE … shown that the multi-scale beta estimation approach is useful in certain cases …

Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon … conditional CAPM. Our approach recognizes that the first order conditions of MLE can be used as orthogonality conditions of GMM …