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Citations for "Bayesian inference in asset pricing tests"

by Harvey, Campbell R. & Zhou, Guofu

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  1. Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(04), pages 959-986, August.
  2. Michael Rockinger & Eric Jondeau, 2002. "Asset Allocation in Transition Economies," Working Papers hal-00597773, HAL.
  3. repec:wop:ubisop:0008 is not listed on IDEAS
  4. Kandel, S. & McCulloch, R. & Stambaugh, R.F., 1991. "Bayesian Inference and Portfolio Efficiency," Weiss Center Working Papers 8-91, Wharton School - Weiss Center for International Financial Research.
  5. Robert F. Stambaugh, 1997. "Analyzing Investments Whose Histories Differ in Length," NBER Working Papers 5918, National Bureau of Economic Research, Inc.
  6. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  7. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris.
  8. Zhenyu Wang & Xiaoyan Zhang, 2006. "Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims," Staff Reports 265, Federal Reserve Bank of New York.
  9. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
  10. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.
  11. John F. Geweke & Guofu Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis.
  12. 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.
  13. Yong Li & Jun Yu, 2011. "Bayesian Hypothesis Testing in Latent Variable Models," Working Papers 11-2011, Singapore Management University, School of Economics.
  14. Francisco Barillas & Jay Shanken, 2015. "Comparing Asset Pricing Models," NBER Working Papers 21771, National Bureau of Economic Research, Inc.
  15. Malefaki, Valia, 2015. "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper 62216, University Library of Munich, Germany.
  16. Harvey, Campbell R. & Zhou, Guofu, 1993. "International asset pricing with alternative distributional specifications," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 107-131, June.
  17. Pin-Huang Chou & Guofu Zhou, 2006. "Using Bootstrap to Test Portfolio Efficiency," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 217-249, November.
  18. Pin-Huang Chou, 1996. "Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio," Finance 9609002, EconWPA.
  19. Chou, Pin-Huang, 1997. "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 39-62, February.
  20. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
  21. Tu, Jun & Zhou, Guofu, 2004. "Data-generating process uncertainty: What difference does it make in portfolio decisions?," Journal of Financial Economics, Elsevier, vol. 72(2), pages 385-421, May.
  22. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 573-637, December.
  23. Walsh, David M. & Walsh, Kathleen D. & Evans, John P., 1998. "Assessing estimation error in a tracking error variance minimisation framework," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 175-192, May.
  24. Wang, Zhenyu, 1998. "Efficiency loss and constraints on portfolio holdings," Journal of Financial Economics, Elsevier, vol. 48(3), pages 359-375, June.
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