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Further results on the limiting distribution of GMM sample moment conditions
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 494-504
Persistent link: https://www.econbiz.de/10009667053
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Chi-squared tests for evaluation and comparison of asset pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of econometrics 173 (2013) 1, pp. 108-125
Persistent link: https://www.econbiz.de/10009719628
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Misspecification-robust inference in linear asset-pricing models with irrelevant risk factors
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: The review of financial studies 27 (2014) 7, pp. 2139-2170
Persistent link: https://www.econbiz.de/10010443073
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On the properties of the constrained Hansen-Jagannathan distance
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of empirical finance 36 (2016), pp. 121-150
Persistent link: https://www.econbiz.de/10011662813
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Too good to be true? Fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Journal of financial economics 132 (2019) 2, pp. 451-471
Persistent link: https://www.econbiz.de/10012136929
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Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometric reviews 37 (2018) 6/10, pp. 695-718
Persistent link: https://www.econbiz.de/10012040404
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Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596
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Specification tests of asset pricing models using excess returns
Kan, Raymond; Robotti, Cesare - In: Journal of empirical finance 15 (2008) 5, pp. 816-838
Persistent link: https://www.econbiz.de/10003776354
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Model comparison using the Hansen-Jagannathan distance
Kan, Raymond; Robotti, Cesare - In: The review of financial studies 22 (2009) 9, pp. 3449-3490
Persistent link: https://www.econbiz.de/10003885706
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On the estimation of asset pricing models using univariate betas
Kan, Raymond; Robotti, Cesare - In: Economics letters 110 (2011) 2, pp. 117-121
Persistent link: https://www.econbiz.de/10009241683