Identification-robust estimation and testing of the zero-beta CAPM (Q4610595)
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scientific article; zbMATH DE number 7005320
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| default for all languages | No label defined |
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| English | Identification-robust estimation and testing of the zero-beta CAPM |
scientific article; zbMATH DE number 7005320 |
Statements
Identification-Robust Estimation and Testing of the Zero-Beta CAPM (English)
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23 January 2019
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capital asset pricing model
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CAPM
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black
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mean-variance efficiency
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non-normality
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weak identification
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Fieller
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multivariate linear regression
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uniform linear hypothesis
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exact test
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Monte Carlo test
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bootstrap
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nuisance parameters
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GARCH
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portfolio repacking
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0.7953841686248779
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0.7739617228507996
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0.7609634399414062
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0.7597408294677734
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0.7518365383148193
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