This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Douglas J Hodgson
Oliver Linton
Keith Vorkink
Additional information is available for the following
registered author(s):
Adaptive estimation; capital asset pricing model; efficiency
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number
/2000/398.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: Jul 2000Date of revision:
Handle: RePEc:cep:stiecm:/2000/398Contact details of provider: Web page: http://sticerd.lse.ac.uk/publications/
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: Adaptive estimation capital asset pricing model efficiency Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988.
"A Capital Asset Pricing Model with Time-Varying Covariances ,"
Journal of Political Economy ,
University of Chicago Press, vol. 96(1), pages 116-31, February.
[Downloadable!] (restricted)
Robinson, Peter M, 1988.
"The Stochastic Difference between Econometric Statistics ,"
Econometrica ,
Econometric Society, vol. 56(3), pages 531-48, May.
[Downloadable!] (restricted)
Davidson, Russell & MacKinnon, James G, 1998.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests ,"
The Manchester School of Economic & Social Studies ,
Blackwell Publishing, vol. 66(1), pages 1-26, January.
Other versions: Fama, Eugene F. & French, Kenneth R., 1993.
"Common risk factors in the returns on stocks and bonds ,"
Journal of Financial Economics ,
Elsevier, vol. 33(1), pages 3-56, February.
[Downloadable!] (restricted)
James Tobin, 1956.
"Liquidity Preference as Behavior Towards Risk ,"
Cowles Foundation Discussion Papers
14, Cowles Foundation, Yale University.
[Downloadable!]
Hodgson, Douglas J., 1998.
"Adaptive Estimation Of Error Correction Models ,"
Econometric Theory ,
Cambridge University Press, vol. 14(01), pages 44-69, February.
[Downloadable!]
Other versions: repec:cup:etheor:v:10:y:1994:i:2:p:316-56 is not listed on IDEAS
Berk, Jonathan B., 1997.
"Necessary Conditions for the CAPM ,"
Journal of Economic Theory ,
Elsevier, vol. 73(1), pages 245-257, March.
[Downloadable!] (restricted)
Douglas J. Hodgson & Keith Vorkink, 2001.
"Efficient Estimation of Conditional Asset Pricing Models ,"
Cahiers de recherche CREFE / CREFE Working Papers
144, CREFE, Université du Québec à Montréal.
[Downloadable!]
Other versions: Nelson, Daniel B, 1991.
"Conditional Heteroskedasticity in Asset Returns: A New Approach ,"
Econometrica ,
Econometric Society, vol. 59(2), pages 347-70, March.
[Downloadable!] (restricted)
Wolfgang Hardle & Oliver Linton, 1994.
"Applied Nonparametric Methods ,"
Cowles Foundation Discussion Papers
1069, Cowles Foundation, Yale University.
[Downloadable!]
Other versions:
Hardle, W., 1992.
"Applied Nonparametric Methods ,"
Papers
9204, Catholique de Louvain - Institut de statistique.
Hardle, W., 1992.
"Applied Nonparametric Methods ,"
Papers
9203, Catholique de Louvain - Center for Operations Research and Economics.
Hardle, W., 1992.
"Applied Nonparametric Methods ,"
Papers
9206, Tilburg - Center for Economic Research.
Oliver LINTON, .
"Applied nonparametric methods ,"
Statistic und Oekonometrie
9312, Humboldt Universitaet Berlin.
[Downloadable!] Hardle, Wolfgang & Linton, Oliver, 1986.
"Applied nonparametric methods ,"
Handbook of Econometrics ,
in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339
Elsevier.
[Downloadable!] (restricted) Oliver Linton, 1993.
"Adaptive Estimation in ARCH Models ,"
Cowles Foundation Discussion Papers
1054, Cowles Foundation, Yale University.
[Downloadable!]
Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989.
"A Test of the Efficiency of a Given Portfolio ,"
Econometrica ,
Econometric Society, vol. 57(5), pages 1121-52, September.
[Downloadable!] (restricted)
Wesselman, A. M. & Van Praag, B. M. S., 1987.
"Elliptical regression operationalized ,"
Economics Letters ,
Elsevier, vol. 23(3), pages 269-274.
[Downloadable!] (restricted)
Gibbons, Michael R., 1982.
"Multivariate tests of financial models : A new approach ,"
Journal of Financial Economics ,
Elsevier, vol. 10(1), pages 3-27, March.
[Downloadable!] (restricted)
MacKinlay, A. Craig, 1987.
"On multivariate tests of the CAPM ,"
Journal of Financial Economics ,
Elsevier, vol. 18(2), pages 341-371, June.
[Downloadable!] (restricted)
repec:cup:etheor:v:11:y:1995:i:5:p:818-87 is not listed on IDEAS
White, Halbert, 1980.
"A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity ,"
Econometrica ,
Econometric Society, vol. 48(4), pages 817-38, May.
[Downloadable!] (restricted)
repec:cup:etheor:v:9:y:1993:i:4:p:539-69 is not listed on IDEAS
Owen, Joel & Rabinovitch, Ramon, 1983.
" On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice ,"
Journal of Finance ,
American Finance Association, vol. 38(3), pages 745-52, June.
[Downloadable!] (restricted)
Hodgson, Douglas J., 1998.
"Adaptive estimation of cointegrating regressions with ARMA errors ,"
Journal of Econometrics ,
Elsevier, vol. 85(2), pages 231-267, August.
[Downloadable!] (restricted)
Other versions: Linton, Oliver, 1995.
"Second Order Approximation in the Partially Linear Regression Model ,"
Econometrica ,
Econometric Society, vol. 63(5), pages 1079-1112, September.
[Downloadable!] (restricted)
Other versions: White, Halbert, 1982.
"Maximum Likelihood Estimation of Misspecified Models ,"
Econometrica ,
Econometric Society, vol. 50(1), pages 1-25, January.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004.
"Testing forward exchange rate unbiasedness efficiently: a semiparametric approach ,"
Journal of Applied Economics ,
Universidad del CEMA, vol. 0, pages 325-353, November.
[Downloadable!]
Douglas J. Hodgson & Keith Vorkink, 2001.
"Efficient Estimation of Conditional Asset Pricing Models ,"
Cahiers de recherche CREFE / CREFE Working Papers
144, CREFE, Université du Québec à Montréal.
[Downloadable!]
Other versions: BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005.
"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions ,"
Cahiers de recherche
2005-04, Universite de Montreal, Departement de sciences economiques.
[Downloadable!]
Other versions: George A. Christodoulakis & Stephen E Satchell, 2006.
"Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility ,"
Working Papers
32, Bank of Greece.
[Downloadable!]
Fernando A. Quintana & Pilar L. Iglesias & Manuel Galea-Rojas, 2005.
"Bayesian robust estimation of systematic risk using product partition models ,"
Applied Financial Economics Letters ,
Taylor and Francis Journals, vol. 1(5), pages 313-320, September.
[Downloadable!] (restricted)
Access and
download statistics Did you know? It is the publishers that input data about their publications, as there is no staff at RePEc.
This page was last updated on 2008-9-20.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .