Estimating the Arbitrage Pricing Theory with Observed Macro Factors

Analytical results are presented that drastically simplify joint estimation of the APT by Non-linear SUR and maximum likelihood when the factors are measured. Four alternative analytical expressions for calculating standard errors are also presented.Please see published version in Economics Letters for full text and equations

MoreLess

Year of publication:	[2008]
Authors:	Elder, John
Publisher:	[2008]: [S.l.] : SSRN

More details
Report error

Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Notes:	In: Economics Letters, Vol. 55, No. 2, 1997 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 1997 erstellt
Classification:	G12 - Asset Pricing ; C13 - Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012771411