๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Minimax estimation with random coefficients: Theory and application to stock returns

โœ Scribed by Bernhard Schipp; Markus Brechtmann

Publisher
Springer Netherlands
Year
1996
Tongue
English
Weight
606 KB
Volume
43
Category
Article
ISSN
0167-8019

No coin nor oath required. For personal study only.

โœฆ Synopsis

Testing the reliability of the capital asset pricing model (CAPM) for various stock market returns is an important task in capital market research. In all previous studies, a common feature consists in the application of ordinary least squares or Bayesian methods when it comes to estimation of parameters. The Bayesian approach seems to be fairly intractable by practitioners whereas the OLS approach often yields imprecise and thus doubtful results. In this paper, the CAPM is estimated by approximate minimax techniques extended to a random coefficient regression model (RCR). The method turns out to be efficient from both the economical and computational point of view.

๐Ÿ“œ SIMILAR VOLUMES

A non-linear filtering approach to stoch
A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
โœ Toshiaki Watanabe ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 199 KB ๐Ÿ‘ 2 views

This paper develops a new method for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is dicult to evaluate the exact likelihood. In this paper, a non-linear ยฎlter which yields the exact likelihood of SV models is employed. Solving a series of

An iterated GMM procedure for estimating
An iterated GMM procedure for estimating the Campbellโ€“Cochrane habit formation model, with an application to Danish Stock and bond returns
โœ Tom Engsted; Stig V. Mรธller ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 222 KB

## Abstract We suggest an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane, and we apply the approach on annual and quarterly Danish stock and bond returns. For comparative purposes we also estimate and test the standard constant rela