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Persistent link: https://www.econbiz.de/10005411643
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We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric...
Persistent link: https://www.econbiz.de/10005764793
We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the...
Persistent link: https://www.econbiz.de/10005100052
We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is neccessary and sufficient for the validity of the CAPM. Our test is based on semi-parametric...
Persistent link: https://www.econbiz.de/10005073872
We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels. We consider efficient estimation of possibly...
Persistent link: https://www.econbiz.de/10005063625
A semiparametric efficient estimation procedure is developed for the parameters of multivariate GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise unrestricted. Under high level restrictions, the resulting estimator...
Persistent link: https://www.econbiz.de/10005572477
Persistent link: https://www.econbiz.de/10005610558
Persistent link: https://www.econbiz.de/10005122777
We develop new tests of the capital asset pricing model (CAPM) that take account of and are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric...
Persistent link: https://www.econbiz.de/10005168691