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A new non-linear GARCH model

Hagerud, Gustaf E. - 1997

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Erreurs sur les variables et modèles d'évaluation des actifs financiers canadiens

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Thin-trading effects in beta: bias v. estimation error

Sercu, Piet; Vandebroek, Martina; Vinaimont, Tom - In: Journal of business finance & accounting : JBFA 35 (2008) 9/10, pp. 1196-1219

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Estimates of foreign exchange risk premia : a pricing kernel approach

Cappiello, Lorenzo; Panigirtzoglou, Nikolaos - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 475-495

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Empirical and theoretical aspects of conditional heteroscedasticity in assett pricing

Lee, Suk R. - 1988

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Two unconditionally implied parameters and volatilty smiles and skews

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Empirical dynamic asset pricing : model specification and econometric assessment

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Econometrics of testing for jumps in financial economics using bipower variation

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Pricing model performance and the two-pass cross-sectional regression methodology

Kan, Raymond; Robotti, Cesare; Shanken, Jay - 2009

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...

Persistent link: https://www.econbiz.de/10003818202