Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
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Publication:1753053
DOI10.1016/J.JECONOM.2018.01.007zbMath1452.62932OpenAlexW2793324218MaRDI QIDQ1753053
Georgios Skoulakis, Soohun Kim
Publication date: 25 May 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.01.007
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
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Uses Software
Cites Work
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