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A skeptical appraisal of asset pricing tests

Lewellen, Jonathan; Nagel, Stefan; Shanken, Jay - In: Journal of financial economics 96 (2010) 2, pp. 175-194

Persistent link: https://www.econbiz.de/10003979139

Asparouhova, Elena; Bessembinder, Hendrik; Kalcheva, Ivalina - In: Journal of financial economics 96 (2010) 2, pp. 215-237

Persistent link: https://www.econbiz.de/10003979145

A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation

Li, Minqiang - In: Journal of economic dynamics & control 34 (2010) 2, pp. 132-157

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A note on the coefficient of determination in models with infinite variance variables

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An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns

Engsted, Tom; Møller, Stig Vinther - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 213-227

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On the variance of the error associated to the squared return as proxy of volatility

Triacca, Umberto - In: Applied financial economics letters 3 (2007) 4/6, pp. 255-257

Persistent link: https://www.econbiz.de/10003604896

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

Sercu, Piet (contributor); Vandebroek, Martina (contributor) - 2007

Persistent link: https://www.econbiz.de/10003611579

Efficient estimation of a semiparametric characteristic-based factor model of security returns

Connor, Gregory (contributor); Hagmann, Matthias (contributor) - 2007

Persistent link: https://www.econbiz.de/10003576859

Efficient estimation of a semiparametric characteristic-based factor model of security returns

Connor, Gregory (contributor); Hagmann, Matthias (contributor) - 2007

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate nonparametric functions...

Persistent link: https://www.econbiz.de/10003550858

Efficient estimation of a semiparametric characteristic-based factor model of security returns

Connor, Gregory (contributor); Hagmann, Matthias (contributor) - 2007

Persistent link: https://www.econbiz.de/10003563511