Generalized Method of Moments: Applications in Finance
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- Kleibergen, Frank & Paap, Richard, 2006.
"Generalized reduced rank tests using the singular value decomposition,"
Journal of Econometrics,
Elsevier, vol. 133(1), pages 97-126, July.
- Frank Kleibergen & Richard Paap, 2003. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Tinbergen Institute Discussion Papers 03-003/4, Tinbergen Institute.
- Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society.
- Kleibergen, F.R. & Paap, R., 2003. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Institute Research Papers EI 2003-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- repec:eee:riibaf:v:42:y:2017:i:c:p:1228-1243 is not listed on IDEAS
- Alessandra Amendola & Giuseppe Storti, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers SFB649DP2009-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Abel, Ernest & Fletcher, Jonathan, 2004. "An empirical examination of UK emerging market unit trust performance," Emerging Markets Review, Elsevier, vol. 5(4), pages 389-408, December.
- Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
- Christian Hawkesby & Ian W Marsh & Ibrahim Stevens, 2005. "Comovements in the prices of securities issued by large complex financial institutions," Bank of England working papers 256, Bank of England.
- Nicky Grant, 2013. "Identification Robust Inference with Singular Variance," The School of Economics Discussion Paper Series 1315, Economics, The University of Manchester.
- Fletcher, Jonathan & Kihanda, Joseph, 2005. "An examination of alternative CAPM-based models in UK stock returns," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2995-3014, December.
- Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
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