Search Results - subject:"Arbitrage pricing theory"

Modelos multifactores macroeconómicos desde la perspectiva del Arbitrage Pricing Theory (APT)

Leyva Rayón, Elitania - In: Análisis económico 29 (2014) 71, pp. 113-135

Persistent link: https://www.econbiz.de/10011640730

Cross currency arbitrage in Mauritius : fading opportunities

Khadaroo, A. J. - In: The Indian economic journal 62 (2014) 2, pp. 966-984

Persistent link: https://www.econbiz.de/10012228430

Macroeconomic Factors and International Industry Returns

Markoulis, Stelios; Kavussanos, Manolis G. - 2014

The aim of this article is to examine the global sources of risk in 38 international industries for the period 1987:3-1997:10. Past studies on industry returns and risk have been performed at a national level. However, given the global integration of various industry sectors, it would be...

Persistent link: https://www.econbiz.de/10014206222

Challenges in macro-finance modeling

Kim, Don H. - 2007

This paper discusses various challenges in the specification and implementation of "macro-finance" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. I classify macro-finance models into pure latent-factor models ("internal...

Persistent link: https://www.econbiz.de/10003675524

The affine arbitrage-free class of Nelson-Siegel term structure models

Christensen, Jens H. E. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003722294

A model of spatial arbitrage with transport capacity constraints and endogenous transport prices

Coleman, Andrew (contributor) - 2007

Persistent link: https://www.econbiz.de/10003430282

Modeling, pricing and risk management of power derivatives

Wilhelm, Martina (contributor) - 2007

Persistent link: https://www.econbiz.de/10003645214

Bayesian variable selection of risk factors in the APT model

Kohn, Robert (contributor); Ouysse, Rachida (contributor) - 2007

to risk factor selection in the arbitrage pricing theory model. The methodology uses a bayesian framework to … model inference. Since the inception of the arbitrage pricing theory (APT) by Ross (1976, 1977), there is an increased … for the Arbitrage Pricing Theory. Journal of Finance, Vol. XLIII, No. 3, pp. 721-733. [7] Carlin, B. P. and Chib, S. (1995 …

Persistent link: https://www.econbiz.de/10003633142

The affine arbitrage-free class of Nelson-Siegel term structure models

Christensen, Jens H. E.; Diebold, Francis X.; … - 2007

Persistent link: https://www.econbiz.de/10003604248

Measuring and decomposing capital stock and service values : should capital quality be given a place?

Biørn, Erik (contributor) - 2007

Persistent link: https://www.econbiz.de/10003543962