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subject:"CAPM"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
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CAPM
Estimation theory
Theory
8,094
Theorie
8,093
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1,485
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1,466
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723
Estimation
721
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454
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447
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444
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381
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381
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351
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351
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297
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297
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286
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285
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Campbell, John Y.
10
Cochrane, John H.
10
Aït-Sahalia, Yacine
9
Stambaugh, Robert F.
8
Bekaert, Geert
7
Diebold, Francis X.
7
Chib, Siddhartha
6
Engle, Robert F.
6
Ferson, Wayne E.
6
Gouriéroux, Christian
6
Hodrick, Robert J.
6
Imbens, Guido
6
Lee, Lung-fei
6
Li, Qi
6
Phillips, Peter C. B.
6
Granger, C. W. J.
5
Harvey, Campbell R.
5
Kohn, Robert
5
Lehmann, Bruce Neal
5
Pástor, Ľuboš
5
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4
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4
Dumas, Bernard
4
Engel, Charles
4
Heckman, James J.
4
King, Maxwell L.
4
Lo, Andrew W.
4
Longstaff, Francis A.
4
MacKinlay, Archie Craig
4
Melino, Angelo
4
Mykland, Per A.
4
Powell, James
4
Schmidt, Peter
4
Yaron, Amir
4
Zin, Stanley E.
4
Abadie, Alberto
3
Abrevaya, Jason
3
Ali, Mukhtar M.
3
Andrews, Donald W. K.
3
Athey, Susan
3
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Working paper / National Bureau of Economic Research, Inc.
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447
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289
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278
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221
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217
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170
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170
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161
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159
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157
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150
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146
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141
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84
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82
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82
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81
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80
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79
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77
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75
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72
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69
International economic review
69
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69
Europäische Hochschulschriften / 5
65
Journal of international money and finance
63
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ECONIS (ZBW)
664
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1
Canonical correlation-based model selection for the multilevel factors
Choi, In
;
Lin, Rui
;
Shin, Yongcheol
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 22-44
Persistent link: https://www.econbiz.de/10014340924
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2
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332237
Saved in:
3
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
4
Business-cycle consumption risk and asset prices
Bandi, Federico M.
;
Tamoni, Andrea
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
Saved in:
5
Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
Saved in:
6
A theory of the nominal character of stock securities
Dumas, Bernard
;
Savioz, Marcel
-
2020
Persistent link: https://www.econbiz.de/10012416806
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7
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
8
Factor models with many assets : strong factors, weak factors, and the two-pass procedure
Anatolyev, Stanislav
;
Mikusheva, Anna
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 103-126
Persistent link: https://www.econbiz.de/10013441835
Saved in:
9
High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Feng, Long
;
Lan, Wei
;
Liu, Binghui
;
Ma, Yanyuan
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 152-175
Persistent link: https://www.econbiz.de/10013441842
Saved in:
10
Liquidity risk after 20 years
Pástor, Ľuboš
;
Stambaugh, Robert F.
-
2019
Persistent link: https://www.econbiz.de/10012020238
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