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Stable paretian models in finance

Račev, Svetlozar T.; Mittnik, Stefan - 2000

Persistent link: https://www.econbiz.de/10001354951

Statistical methodologies for financial research : special issue

Taylor, Stephen (contributor) - In: Mathematical finance : an international journal of … 4 (1994) 2, pp. 75-221

Persistent link: https://www.econbiz.de/10001185297

A one-step test of the arbitrage pricing theory

Duan, Jin-Chuan - In: Advances in investment analysis and portfolio … 2 (1994), pp. 71-96

Persistent link: https://www.econbiz.de/10001185489

Econometric methods and financial time series

Campbell, John Y. (contributor) - In: Journal of econometrics 45 (1990) 1, pp. 1-290

Persistent link: https://www.econbiz.de/10001095356

Econometrics of Asset Pricing : Methodological Review and Empirical Exercise

Lozano, Martin - 2011

This review summarizes some of the methodology currently available for estimating and evaluating Beta and stochastic discount factor (SDF) models such as time-series regression, cross-sectional regression, Fama-MacBeth procedure, and the generalized method of moments (GMM). The Fama-French and...

Persistent link: https://www.econbiz.de/10013130564

A solution manual to "The econometrics of financial markets"

Adamek, Petr; Campbell, John Y.; Lo, Andrew W.; … - 1997

Persistent link: https://www.econbiz.de/10013502965

The econometrics of financial markets

Campbell, John Y.; Lo, Andrew W.; MacKinlay, Archie Craig - 1997

Persistent link: https://www.econbiz.de/10013503137

Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz … management business and include the necessary background material in probability, statistics, and econometrics to make the book … QUANTITATIVE EQUITY MANAGEMENT -- LOOKING AHEAD FOR QUANTITATIVE EQUITY INVESTING -- Chapter 2: Financial Econometrics I: Linear …

Persistent link: https://www.econbiz.de/10012683140

Methodological ignorance : a comment on field experiments and methodological intolerance

Boumans, Marcel - In: The journal of economic methodology 23 (2016) 2, pp. 139-146

Persistent link: https://www.econbiz.de/10011524221

Rebuttal of "on nonparametric identification of treatment effects in duration models"

Abbring, Jaap H.; Berg, Gerard J. van den - 2016

In their IZA Discussion Paper 10247, Johansson and Lee claim that the main result (Proposition 3) in Abbring and Van den Berg (2003b) does not hold. We show that their claim is incorrect. At a certain point within their line of reasoning, they make a rather basic error while transforming one...

Persistent link: https://www.econbiz.de/10011543629