Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM …

-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …

multivariate CKLS framework is employed for dynamic estimation and forecasting of four classical models over the eventful period of … potential benefit of gradually increasing the model-flexibility. The Gaussian estimation methods for dynamic continuous time …

We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing … techniques: cross-sectional nonparametric methods and kernel estimation for time varying dynamics in the time series context. The …

for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …

conditions. The GMM procedure is compared to a Kalman filter estimation approach. Empirical estimation is implemented on US …

using monthly rather than daily returns to estimate the Capital Asset Pricing Model (CAPM). I show that when using … intercept and slope coefficients. I present a simulation study and empirical examples of the CAPM and Fama French three factor …