scientific article; zbMATH DE number 1140588

MaRDI QIDQ4385360zbMATH OpenFDO

Authors Ross L. Stevens

Publication date 20 September 1998

zbMATH Keywords

asset pricing test

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Recommendations

• Chi-squared tests for evaluation and comparison of asset pricing models
• Bayesian variable selection and model averaging in the arbitrage pricing theory model
• Application of the multivariate average F-test to examine relative performance of asset pricing models with individual security returns
• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Exact multivariate tests of asset pricing models with stable asymmetric distributions

Cited in

(4)

• Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
• Application of the multivariate average F-test to examine relative performance of asset pricing models with individual security returns
• Chi-squared tests for evaluation and comparison of asset pricing models
• Asset pricing models, specification search, and stability analysis

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4385360)