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Citations for "Measuring the pricing error of the arbitrage pricing theory"

by John Geweke & Guofu Zhou

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  1. Sydney C. Ludvigson & Serena Ng, 2009. "A Factor Analysis of Bond Risk Premia," NBER Working Papers 15188, National Bureau of Economic Research, Inc.
  2. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
  3. Bin Peng & Giovanni Forchini, 2014. "Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large," Working Paper Series 20, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Mário Jorge Mendonça & Cláudio Hamilton dos Santos & Thiago Guerrera Martins, 2009. "Aplicação de um Modelo Fatorial Dinâmico Para Previsão da Arrecadação Tributária no Brasil," Discussion Papers 1453, Instituto de Pesquisa Econômica Aplicada - IPEA.
  5. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
  6. Gabriella Conti & Sylvia Fruhwirth-Schnatter & James Heckman & Rémi Piatek, 2014. "Bayesian exploratory factor analysis," CeMMAP working papers CWP30/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
  8. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus.
  9. F. Ferroni & B. Klaus, 2014. "Euro Area business cycles in turbulent times: convergence or decoupling?," Working papers 522, Banque de France.
  10. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
  11. Zhou, Guofu, 1999. "Security factors as linear combinations of economic variables," Journal of Financial Markets, Elsevier, vol. 2(4), pages 403-432, November.
  12. Mohamed Saidane & Christian Lavergne, 2007. "A structured variational learning approach for switching latent factor models," AStA Advances in Statistical Analysis, Springer, vol. 91(3), pages 245-268, October.
  13. Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
  14. Neil Shephard & Siddhartha Chib, 1999. "Analysis of High Dimensional Multivariate Stochastic Volatility Models," Economics Series Working Papers 1999-W18, University of Oxford, Department of Economics.
  15. Mirko Wiederholt & Emanuel Moench & Bartosz Maćkowiak, 2009. "Sectoral Price Data and Models of Price Setting," 2009 Meeting Papers 666, Society for Economic Dynamics.
  16. Mumtaz, Haroon & Surico, Paolo, 2008. "Evolving International Inflation Dynamics: Evidence from a Time-varying Dynamic Factor Model," CEPR Discussion Papers 6767, C.E.P.R. Discussion Papers.
  17. Carel Peeters, 2012. "Rotational Uniqueness Conditions Under Oblique Factor Correlation Metric," Psychometrika, Springer, vol. 77(2), pages 288-292, April.
  18. Christian Aßmann & Jens Boysen-Hogrefe & Markus Pape, 2014. "Bayesian Analysis of Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem," Kiel Working Papers 1902, Kiel Institute for the World Economy.
  19. Terrance Savitsky & Daniel McCaffrey, 2014. "Bayesian Hierarchical Multivariate Formulation with Factor Analysis for Nested Ordinal Data," Psychometrika, Springer, vol. 79(2), pages 275-302, April.
  20. 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.
  21. Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
  22. Sylvia Kaufmann & Christian Schumacher, 2013. "Bayesian estimation of sparse dynamic factor models with order-independent identification," Working Papers 13.04, Swiss National Bank, Study Center Gerzensee.
  23. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, School of Economics and Management, University of Aarhus.
  24. Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper Series 47_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  25. Zhou, Xiaocong & Nakajima, Jouchi & West, Mike, 2014. "Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models," International Journal of Forecasting, Elsevier, vol. 30(4), pages 963-980.
  26. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute.
  27. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
  28. Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005. "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292.
  29. 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.
  30. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
  31. Christopher S. Jones & Jay Shanken, 2002. "Mutual Fund Performance with Learning Across Funds," NBER Working Papers 9392, National Bureau of Economic Research, Inc.
  32. Nagayasu, Jun, 2015. "Global and country-specific factors in real effective exchange rates," MPRA Paper 64217, University Library of Munich, Germany.
  33. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  34. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  35. Li, Yong & Yu, Jun, 2012. "Bayesian hypothesis testing in latent variable models," Journal of Econometrics, Elsevier, vol. 166(2), pages 237-246.
  36. Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," Computing in Economics and Finance 1999 112, Society for Computational Economics.
  37. 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.
  38. Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
  39. KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang, 2014. "Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model," Research Paper Series 347, Quantitative Finance Research Centre, University of Technology, Sydney.
  40. Robert Kohn & Rachida Ouysse, 2007. "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers 2007-32, School of Economics, The University of New South Wales.
  41. Haroon Mumtaz & Paolo Surico, 2006. "Inflation Globalization and the Fall of Country Specific Fluctuations," Computing in Economics and Finance 2006 166, Society for Computational Economics.
  42. Necati Tekatli, 2010. "A Bayesian Generalized Factor Model with Comparative Analysis (Genellestirilmis Faktor Modellerinin Bayesyen Yaklasimi ve Karsilastirmali Analizi)," Working Papers 1018, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  43. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality," SFB 649 Discussion Papers SFB649DP2008-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  44. Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2015. "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Working Papers 550, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  45. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 99-078/4, Tinbergen Institute.
  46. Geert Mesters & Siem Jan Koopman & Marius Ooms, 2011. "Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models," Tinbergen Institute Discussion Papers 11-090/4, Tinbergen Institute.
  47. Wolfgang Reichmuth & Samad Sarferaz, 2008. "Modeling and Forecasting Age-Specific Mortality: A Bayesian Approach," SFB 649 Discussion Papers SFB649DP2008-052a, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  48. Ando, Tomohiro, 2009. "Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1717-1726, September.
  49. Kim Sawyer & André Gygax & Matthew Hazledine, 2010. "Pricing errors and estimates of risk premia in factor models," Annals of Finance, Springer, vol. 6(3), pages 391-403, July.
  50. Harding, Matthew C., 2008. "Explaining the single factor bias of arbitrage pricing models in finite samples," Economics Letters, Elsevier, vol. 99(1), pages 85-88, April.
  51. Necati Tekatli, 2010. "A New Core Inflation Indicator for Turkey (Turkiye Ekonomisi Icin Yeni Bir Cekirdek Enflasyon Gostergesi)," Working Papers 1019, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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