Further sets of restrictions that can arise from the theory of portfolio models are examined. These are of two major classes: variance-covariance restrictions arising from explicit attention to the introduction of the error term, restrictions on the interest-rate response matrix which have not been fully accounted for in previous studies. Under certain assumptions a "reverse regression" procedure for estimation becomes more appropriate. A hierarchy of restrictions is developed, and estimation and testing are demonstrated using an empirical application. Copyright 1986 by Blackwell Publishers Ltd/University of Adelaide and Flinders University of South Australia
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.