A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
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Publication:4372029
DOI10.1111/j.1467-9965.1994.tb00053.xzbMath0884.90061MaRDI QIDQ4372029
Publication date: 21 January 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00053.x
91B24: Microeconomic theory (price theory and economic markets)
91B82: Statistical methods; economic indices and measures
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- A unified beta pricing theory
- Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
- Martingales and arbitrage in multiperiod securities markets
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- An Intertemporal Capital Asset Pricing Model