Minimum-variance kernels, economic risk premia, and tests of multi-beta models
Year of publication: |
2001
|
---|---|
Authors: | Balduzzi, Pierluigi ; Robotti, Cesare |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | Risk | Asset pricing | Econometric models |
Series: | Working Paper ; 2001-24 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/100899 [Handle] RePEc:fip:fedawp:2001-24 [RePEc] |
Source: |
-
Minimum-variance kernels, economic risk premia, and tests of multi-beta models
Balduzzi, Pierluigi, (2001)
-
Lettau, Martin, (2001)
-
Efficient, regression-based estimation of dynamic asset pricing models
Adrian, Tobias, (2011)
- More ...
-
Mimicking portfolios, economic risk premia, and tests of multi-beta models
Balduzzi, Pierluigi, (2005)
-
Asset-pricing models and economic risk premia: A decomposition
Balduzzi, Pierluigi, (2005)
-
Minimum-variance kernels, economic risk premia, and tests of multi-beta models
Balduzzi, Pierluigi, (2001)
- More ...