Efficient Estimation of Conditional Asset Pricing Models [electronic Resource]

Efficient Estimation of Conditional Asset Pricing Models [electronic Resource]
Author: Douglas J. Hodgson
Publisher:
Total Pages:
Release: 2001
Genre:
ISBN:


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Efficient Estimation of Conditional Asset Pricing Models [electronic Resource]
Language: en
Pages:
Authors: Douglas J. Hodgson
Categories:
Type: BOOK - Published: 2001 - Publisher:

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Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
Language: en
Pages:
Authors: Kenneth J. Singleton
Categories:
Type: BOOK - Published: 1997 - Publisher:

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This paper explores in depth the nature of the conditional moment restrictions implied by log-linear intertemporal capital asset pricing models (ICAPMs) and sho
Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
Language: en
Pages: 55
Authors: Lars Peter Hansen
Categories:
Type: BOOK - Published: 2010 - Publisher:

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This paper explores in depth the nature of the conditional moment restrictions implied by log-linear intertemporal capital asset pricing models (ICAPMs) and sho
Estimation and evaluation of conditional asset pricing models
Language: en
Pages: 61
Authors: Stefan Nagel
Categories: Assets (Accounting)
Type: BOOK - Published: 2010 - Publisher:

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We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated m
Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification
Language: en
Pages:
Authors: Antonios Antypas
Categories:
Type: BOOK - Published: 2019 - Publisher:

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We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case,