𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Explaining the Poor Performance of Consumption-based Asset Pricing Models

✍ Scribed by John Y. Campbell; John H. Cochrane


Book ID
108503011
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
98 KB
Volume
55
Category
Article
ISSN
0022-1082

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


The performance of heteroskedasticity an
✍ Surajit Ray; N. E. Savin πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 147 KB πŸ‘ 1 views

## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t