Bayesian variable selection and model averaging in the arbitrage pricing theory model
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Citations
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Cited by:
- Guidolin, Massimo & Ravazzolo, Francesco & Tortora, Andrea Donato, 2013. "Alternative econometric implementations of multi-factor models of the U.S. financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 87-111.
- Salotti, Simone & Trecroci, Carmine, 2014.
"Multifactor risk loadings and abnormal returns under uncertainty and learning,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.
- Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
- Rachida Ouysse, 2011. "Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models," Discussion Papers 2012-03, School of Economics, The University of New South Wales.
- Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.
- Magnus, Jan R. & Wan, Alan T.K. & Zhang, Xinyu, 2011. "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1331-1341, March.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011.
"Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns,"
Working Papers
416, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
- Faruque, Muhammad U, 2011. "An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh," MPRA Paper 38675, University Library of Munich, Germany.
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