Portfolio performance sensitivity for various asset-pricing kernels (Q2384593): Difference between revisions

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+https://doi.org/10.1016/j.cor.2006.02.019
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+W2087441867
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+Martingales and arbitrage in multiperiod securities markets
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+The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
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+Large Sample Properties of Generalized Method of Moments Estimators
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+Common Factors in Active and Passive Portfolios
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+Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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