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Three essays on financial econometrics
Yu, Jialin - 2005
Persistent link: https://www.econbiz.de/10003555366
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A step-by-step guide to the Black-Litterman model : incorporating user-specified confidence levels
Idzorek, Thomas - In: Forecasting expected returns in the financial markets, (pp. 17-38). 2007
Persistent link: https://www.econbiz.de/10003557920
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A structured variational learning approach for switching latent factor models
Saidane, Mohamed; Lavergne, Christian - In: Advances in statistical analysis : AStA ; a journal of … 91 (2007) 3, pp. 245-268
Persistent link: https://www.econbiz.de/10003558111
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Joint estimation of factor sensitivities and risk premia for the arbitrage pricing theory
Burmeister, Edwin; McElroy, Marjorie B. - In: The journal of finance : the journal of the American … 43 (1988) 3, pp. 721-733
Persistent link: https://www.econbiz.de/10003506580
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Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 3/4, pp. 302-321
Persistent link: https://www.econbiz.de/10008653256
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Cost of equity estimation techniques used by valuation experts
Kolouchová, Petra; Novák, Jiřrí - 2010
most popular model for cost of equity estimation is CAPM, which is followed by the heuristic build up model. In the case of … CAPM, risk premiums for unsystematic risks are often applied. Such premiums depend to large extent on expert's own … previous, survey-based research on the US and the Western European data. -- Business valuation ; cost of equity ; CAPM …
Persistent link: https://www.econbiz.de/10008655632
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Dynamic factors and asset pricing
He, Zhongzhi Lawrence; Huh, Sahn-wook; Lee, Bong-soo - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 3, pp. 707-737
Persistent link: https://www.econbiz.de/10008657199
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Efficient, regression-based estimation of dynamic asset pricing models
Adrian, Tobias; Crump, Richard K.; Mönch, Emanuel - 2011
We study regression-based estimators for beta representations of dynamic asset pricing models with affine and exponentially affine pricing kernel specifications. These estimators extend static cross-sectional asset pricing estimators to settings where prices of risk vary with observed state...
Persistent link: https://www.econbiz.de/10008991260
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Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model
Winker, Peter; Lyra, Marianna; Sharpe, Chris - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 103-123
Persistent link: https://www.econbiz.de/10008992060