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Persistent link: https://www.econbiz.de/10010889643
In this paper I develop an analytical Wald test of the zero-beta capital asset pricing model (CAPM) in a simple iid (independent and identically distributed) setting and extend the Wald test to the generalized method of moments (GMM) framework that allows for a general form of serial correlation...
Persistent link: https://www.econbiz.de/10008518734