Explaining the single factor bias of arbitrage pricing models in finite samples
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Publication:1934712
DOI10.1016/j.econlet.2007.06.001zbMath1255.91331OpenAlexW2127443966MaRDI QIDQ1934712
Publication date: 29 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2007.06.001
Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)
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Cites Work
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- Eigenvalues of large sample covariance matrices of spiked population models
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Theory of Financial Risk and Derivative Pricing
- Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
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