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Tests of international CAPM with time-varying covariances
Engel, Charles; Rodrigues, Anthony P. - 1987
Persistent link: https://www.econbiz.de/10000724460
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Tests of international CAPM with time-varying covariances
Engel, Charles - In: Journal of applied econometrics 4 (1989) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10001066017
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The long-run US, UK real exchange rate
Engel, Charles; Kim, Chang-jin - 1996
Persistent link: https://www.econbiz.de/10000604986
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Tests of International CAPM with Time-Varying Covariances
Engel, Charles - 2008
We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The quot;betasquot; in our CAPM vary over time from two sources -- the supplies of the assets (government...
Persistent link: https://www.econbiz.de/10012774612
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Encompassing tests when no model is incompassing
West, Kenneth D. - 1999
Persistent link: https://www.econbiz.de/10001446735
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Encompassing tests when no model is encompassing
West, Kenneth D. - 2000
Persistent link: https://www.econbiz.de/10001493289
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Asymptotic inference about predictive ability
West, Kenneth D. - 1994
Persistent link: https://www.econbiz.de/10000896656
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Another heteroskedasticity and autocorrelation consistent covariance matrix estimator
West, Kenneth D. - 1994
Persistent link: https://www.econbiz.de/10000903225
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On optimal instrumental variables estimation of time series models
West, Kenneth D. - 1997
Persistent link: https://www.econbiz.de/10000979615
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Inventory models
West, Kenneth D. - 1993
Persistent link: https://www.econbiz.de/10000879024