Empirical Asset Pricing Models Data, Empirical Verification, and Model Search /
This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verification of essential factors and features for asset returns through model search approaches, in which...
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| Hlavní autor: | |
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| Médium: | Elektronický zdroj E-kniha |
| Jazyk: | angličtina |
| Vydáno: |
Cham :
Springer International Publishing,
2018.
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| Vydání: | 1st ed. 2018. |
| Témata: | |
| ISBN: | 9783319741925 |
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Obsah:
- Part I Asset Pricing Models: Discussions and Statistical Inferences
- 1. Asset Pricing Models: Specification, Data and Theoretical Foundation
- 2. Statistical Inferences with Specification Tests
- 3. Statistical Inferences with Model Selection Criteria
- Part II The Alternative Methodology. - 4. Finding Essential Variables in Empirical Asset Pricing Models
- 5. Hypothesis Testing with Model Search.