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Tests of risk premia in linear factor models
Kleibergen, Frank - In: Journal of econometrics 149 (2009) 2, pp. 149-173
Persistent link: https://www.econbiz.de/10003833785
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Identification-robust inference on risk premia of mimicking portfolios of non-traded factors
Kleibergen, Frank; Zhang, Zhaoguo - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 155-190
Persistent link: https://www.econbiz.de/10011987757
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Identification robust testing of risk premia in finite samples
Kleibergen, Frank; Kong, Lingwei; Zhan, Zhaoguo - In: Journal of financial econometrics 21 (2023) 2, pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
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Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda - In: Journal of financial econometrics 21 (2023) 2, pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
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Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo - In: Journal of financial econometrics 21 (2023) 2, pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
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Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco - In: Journal of financial econometrics 21 (2023) 2, pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
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Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank; Kong, Lingwei; Zhan, Zhaoguo - In: Journal of financial econometrics 21 (2023) 2, pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
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A powerful test needs to be size-correct : response to "robust inference for consumption-based asset pricing with power"
Kleibergen, Frank; Zhan, Zhaoguo - In: Critical finance review 14 (2025) 1, pp. 179-185
Persistent link: https://www.econbiz.de/10015409950