The role of conditional heteroskedasticity in identifying and estimating linear triangular systems, with applications to asset pricing models that include a mismeasured factor
Todd Prono
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010414845