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A bayesian approach to testing the arbitrage pricing theory

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  • McCulloch, Robert
  • Rossi, Peter E.

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  • McCulloch, Robert & Rossi, Peter E., 1991. "A bayesian approach to testing the arbitrage pricing theory," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 141-168.
    • Handle: RePEc:eee:econom:v:49:y:1991:i:1-2:p:141-168
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    Cited by:

    1. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2018. "Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 34-62.
    2. Li, Yong & Yu, Jun, 2012. "Bayesian hypothesis testing in latent variable models," Journal of Econometrics, Elsevier, vol. 166(2), pages 237-246.
    3. Goffard, Pierre-Olivier & Laub, Patrick J., 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 350-371.
    4. Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 557-587.
    5. Leonid Kogan & Raman Uppal, "undated". "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research.
    6. Fletcher, Jonathan, 2018. "Bayesian tests of global factor models," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 279-289.
    7. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
    8. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 1-53.
    9. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.
    10. Chen, Hong-Yi & Lee, Alice C. & Lee, Cheng-Few, 2015. "Alternative errors-in-variables models and their applications in finance research," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 213-227.
    11. Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
    12. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
    13. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2017. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 110-129, January.
    14. Fletcher, Jonathan, 2019. "Model comparison tests of linear factor models in U.K. stock returns," Finance Research Letters, Elsevier, vol. 28(C), pages 281-291.
    15. Manuel Ammann & Michael Verhofen, 2008. "Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach," European Financial Management, European Financial Management Association, vol. 14(3), pages 391-418, June.
    16. Pierre-Olivier Goffard & Patrick Laub, 2021. "Approximate Bayesian Computations to fit and compare insurance loss models," Working Papers hal-02891046, HAL.
    17. Feng, Guanhao & He, Jingyu, 2022. "Factor investing: A Bayesian hierarchical approach," Journal of Econometrics, Elsevier, vol. 230(1), pages 183-200.
    18. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, December.
    19. Doron Avramov, "undated". "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research.
    20. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    21. Jones, Christopher S., 2001. "Extracting factors from heteroskedastic asset returns," Journal of Financial Economics, Elsevier, vol. 62(2), pages 293-325, November.
    22. Francisco Barillas & Jay Shanken, 2018. "Comparing Asset Pricing Models," Journal of Finance, American Finance Association, vol. 73(2), pages 715-754, April.
    23. Chu Zhang, 2009. "Testing the APT with the Maximum Sharpe Ratio of Extracted Factors," Management Science, INFORMS, vol. 55(7), pages 1255-1266, July.
    24. Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.

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