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Tunç, Cengiz; Pelletier, Denis - 2013

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Local-linear estimation of time-varying-parameter garch models and associated risk measures

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How Fama-MacBeth Can Go Wrong – And an Informative Solution

Khalaf, Lynda - 2011

We find that weak identification can lead to econometric problems with Fama-MacBeth regressions, including serious size distortions and biased point estimates. Two sources of weak identification are particularly important and have been little studied in the finance literature – small betas and...

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A cross-section analysis of financial market integration in North America using a four factor model

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Identification-robust estimation and testing of the zero-beta CAPM

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Multilevel and tail risk management

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Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

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