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Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach
Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith - 2000
Persistent link: https://www.econbiz.de/10001510239
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Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach
Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith - 2001
Persistent link: https://www.econbiz.de/10001592532
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Efficient estimation of conditional asset-pricing models
Hodgson, Douglas J.; Vorkink, Keith P. - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 2, pp. 269-283
Persistent link: https://www.econbiz.de/10001757481
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Efficient Estimation of Conditional Asset-Pricing Models
Hodgson, Douglas J.; Vorkink, Keith P. - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 2, pp. 269-283
Persistent link: https://www.econbiz.de/10008215646
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Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach
Hodgson, Douglas J.; Slade, Barrett A.; Vorkink, Keith P. - In: The journal of real estate finance and economics 32 (2006) 2, pp. 151-168
Persistent link: https://www.econbiz.de/10007095399
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Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach
Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith - In: Journal of applied econometrics 17 (2002) 6, pp. 617-639
Persistent link: https://www.econbiz.de/10001723717
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Asset pricing theory and the valuation of Canadian paintings
Hodgson, Douglas J.; Vorkink, Keith P. - In: The Canadian journal of economics 37 (2004) 3, pp. 629-655
Persistent link: https://www.econbiz.de/10002169957
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Testing forward exchange rate unbiasedness efficiently: a semiparametric approach
Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith - In: Journal of applied economics 7 (2004) 2, pp. 325-353
Persistent link: https://www.econbiz.de/10002891902
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Constructing commercial indices: A semiparametric adaptive estimator approach
Hodgson, Douglas J.; Slade, Barrett A.; Vorkink, Keith - In: The journal of real estate finance and economics 32 (2006) 2, pp. 151-168
Persistent link: https://www.econbiz.de/10003305715
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Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry : A Semiparametric Approach
Hodgson, Douglas J. - 2001
We develop new tests of the capital asset pricing model which are optimal 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 efficient estimation...
Persistent link: https://www.econbiz.de/10012742115