Regression-based estimation of dynamic asset pricing models
Tobias Adrian, Richard K. Crump, Emanuel Moench
| Year of publication: |
November 2015
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|---|---|
| Authors: | Adrian, Tobias ; Crump, Richard K. ; Mönch, Emanuel |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 118.2015, 2, p. 211-244
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| Subject: | Dynamic asset pricing | Fama-MacBeth regressions | Time-varying betas | Generalized method of moments | Minimum distance estimation | Reduced rank regression | Schätztheorie | Estimation theory | CAPM | Regressionsanalyse | Regression analysis | Momentenmethode | Method of moments | Schätzung | Estimation | Dynamische Wirtschaftstheorie | Economic dynamics | Kapitalmarkttheorie | Financial economics | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2015.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011480393