𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

✍ Scribed by Manuel Ammann; Michael Verhofen

Book ID
111059102
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
819 KB
Volume
14
Category
Article
ISSN
1354-7798

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Evaluating asset-pricing models using th
Evaluating asset-pricing models using the Hansen–Jagannathan bound: a Monte Carlo investigation
✍ Christopher Otrok; B. Ravikumar; Charles H. Whiteman 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 222 KB

## Abstract We use recent statistical tests, based on a ‘distance’ between the model and the Hansen–Jagannathan bound, to compute the rejection rates of __true__ models. For asset‐pricing models with time‐separable preferences, the finite‐sample distribution of the test statistic associated with th

The performance of heteroskedasticity an
The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama–French asset-pricing model
✍ Surajit Ray; N. E. Savin 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 147 KB 👁 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