Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution
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- R. Douglas Martin & Daniel Z. Xia, 2022. "Efficient bias robust regression for time series factor models," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 215-234, May.
- Pankaj Agrrawal, 2023. "The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties," Mathematics, MDPI, vol. 11(9), pages 1-19, May.
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Keywords
capital asset pricing model; estimation of systematic risk; tests of mean-variance efficiency; t -distribution; generalized method of moments; multifactor asset pricing model;All these keywords.
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