The role of conditional heteroskedasticity in identifying and estimating linear triangular systems, with applications to asset pricing models that include a mismeasured factor
Year of publication: |
2014
|
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Authors: | Prono, Todd |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 29.2014, 5, p. 800-824
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Subject: | Statistischer Fehler | Statistical error | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | CAPM | Theorie | Theory |
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