Multivariate tests of a continuous time equilibrium arbitrage pricing theory with conditional heteroscedasticity and jumps
M. S. Ho, W. R. M. Perraudin and B. E. Sørensen
| Year of publication: |
1992
|
|---|---|
| Authors: | Ho, Mun ; Perraudin, William R. M. ; Sørensen, Bent E. |
| Publisher: |
Cambridge : Univ. of Cambridge, Dep. of Applied Economics |
| Subject: | CAPM | Schätztheorie | Estimation theory | Arbitrage Pricing | Arbitrage pricing | Zeitreihenanalyse | Time series analysis |
| Extent: | 42 S. |
|---|---|
| Series: | DAE working paper. - Cambridge, ZDB-ID 2200094-X. - Vol. 9211 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Literaturverz. S. 40 - 42 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000137146