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subject:"CAPM"
type_genre:"Article in journal"
~accessRights:"restricted"
~language:"eng"
~person:"Kan, Raymond"
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CAPM
Theorie
4
Theory
4
Asset pricing
1
Asset-pricing models
1
Börsenkurs
1
Constrained Hansen-Jagannathan distance
1
Equity pricing
1
Linear SDFs
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Method of moments
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continuously updated GMM
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model misspecification
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rank test
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spurious risk factors
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Kan, Raymond
Jarrow, Robert A.
9
Madan, Dilip B.
7
Prokopczuk, Marcel
7
Renault, Eric
7
Antoine, Bertille
6
Fabozzi, Frank J.
6
Hollstein, Fabian
6
Proulx, Kevin
6
Robotti, Cesare
6
Branger, Nicole
5
Gospodinov, Nikolaj
5
Hu, Duni
5
Li, Bin
5
Shi, Qi
5
Taussig, Roi D.
5
Wang, Hailong
5
Andrei, Daniel
4
Chabi-Yo, Fousseni
4
Gagliardini, Patrick
4
Hansen, Lars Peter
4
Hasler, Michael
4
Hommes, Cars H.
4
Johnstone, David
4
Li, Kai
4
Lustig, Hanno
4
Reeves, Jonathan J.
4
Ruan, Xinfeng
4
Scaillet, Olivier
4
Tamoni, Andrea
4
Wang, Yan
4
Yang, Chunpeng
4
Zhang, Lu
4
Zhou, Guofu
4
Ahmed, Shamim
3
Auer, Benjamin R.
3
Bakshi, Gurdip S.
3
Boons, Martijn
3
Bu, Ziwen
3
Burzoni, Matteo
3
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Journal of financial econometrics
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of empirical finance
1
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ECONIS (ZBW)
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Comment on: pseudo-true SDFs in conditional asset pricing models
Kan, Raymond
;
Robotti, Cesare
- In:
Journal of financial econometrics
18
(
2020
)
4
,
pp. 729-735
Persistent link: https://www.econbiz.de/10012405518
Saved in:
2
Rejoinder on: pseudo-true SDFs in conditional asset pricing models
Antoine, Bertille
;
Proulx, Kevin
;
Renault, Eric
- In:
Journal of financial econometrics
18
(
2020
)
4
,
pp. 776-790
Persistent link: https://www.econbiz.de/10012405523
Saved in:
3
Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj
;
Kan, Raymond
;
Robotti, Cesare
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
5
,
pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596
Saved in:
4
On the properties of the constrained Hansen-Jagannathan distance
Gospodinov, Nikolaj
;
Kan, Raymond
;
Robotti, Cesare
- In:
Journal of empirical finance
36
(
2016
),
pp. 121-150
Persistent link: https://www.econbiz.de/10011662813
Saved in:
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