On Stable Factor Structurs in the Pricing of Risk
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Other versions of this item:
- Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO.
- Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
References listed on IDEAS
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Citations
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Cited by:
- Elena Andreou, 2004.
"The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 290-318.
- Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
- Garcia, Rene & Bonomo, Marco, 2001.
"Tests of conditional asset pricing models in the Brazilian stock market,"
Journal of International Money and Finance, Elsevier, vol. 20(1), pages 71-90, February.
- BONOMO, Marco & GARCIA, René, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 1997, Universite de Montreal, Departement de sciences economiques.
- Marco Bonomo & René Garcia, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," CIRANO Working Papers 97s-20, CIRANO.
- Bonomo, M. & Garcia, R., 1997. "Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 9715, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Marco Antonio Bonomo & Rene Garcia, 1997. "Tests of conditional asset pricing models in the Brazilian stock market," Textos para discussão 368, Department of Economics PUC-Rio (Brazil).
- Bonomo, Marco Antônio Cesar & Garcia, René, 1999. "Tests of conditional asset pricing models in the brazilian stock market," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 350, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- BONOMO, Marco & GARCIA, René, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 9715, Universite de Montreal, Departement de sciences economiques.
- Martin Scheicher, 2000. "Time-varying risk in the German stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 70-91.
- Wayne E. Ferson & Campbell R. Harvey, 1999.
"Conditioning Variables and the Cross Section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1325-1360, August.
- Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
- Stefano D'Addona & Mattia Ciprian, 2007.
"Time Varying Sensitivities On A Grid Architecture,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 307-329.
- Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, University Library of Munich, Germany.
- Bekaert, Geert & Wu, Guojun, 2000.
"Asymmetric Volatility and Risk in Equity Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
- Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
- Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc.
- Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
- Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-043, ZEW - Leibniz Centre for European Economic Research.
- Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
- Ho-Chuan Huang & Wan-hsiu Cheng, 2005. "Tests of the CAPM under structural changes," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 523-541.
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More about this item
Keywords
EVALUATION; ECONOMETRICS; ECONOMIC MODELS; TEST;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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