Efficient Estimation of Linear Asset Pricing Models with Moving-average Errors

Efficient Estimation of Linear Asset Pricing Models with Moving-average Errors
Author: Lars Peter Hansen
Publisher:
Total Pages: 53
Release: 1990
Genre: Capital assets pricing model
ISBN:


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Efficient Estimation of Linear Asset Pricing Models with Moving-average Errors
Language: en
Pages: 53
Authors: Lars Peter Hansen
Categories: Capital assets pricing model
Type: BOOK - Published: 1990 - Publisher:

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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
Econometric Theory and Practice
Language: en
Pages: 390
Authors: P. C. B. Phillips
Categories: Business & Economics
Type: BOOK - Published: 2006-01-09 - Publisher: Cambridge University Press

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The essays in this book explore important theoretical and applied advances in econometrics.
Macroeconometrics and Time Series Analysis
Language: en
Pages: 417
Authors: Steven Durlauf
Categories: Business & Economics
Type: BOOK - Published: 2016-04-30 - Publisher: Springer

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Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the disci
Generalized Method of Moments Estimation
Language: en
Pages: 332
Authors: Laszlo Matyas
Categories: Business & Economics
Type: BOOK - Published: 1999-04-13 - Publisher: Cambridge University Press

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The generalized method of moments (GMM) estimation has emerged as providing a ready to use, flexible tool of application to a large number of econometric and ec