scientific article; zbMATH DE number 926828

MaRDI QIDQ4892254zbMATH OpenFDO

Authors Alfred Hamerle

Publication date 28 October 1996

zbMATH Keywords

capital-asset-pricing modelerrors-in-variableshomoscedasticitymultivariate testsregression modelsimulationstwo-stage tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited in

(4)

• Finite sample properties of test of Epstein-Zin asset pricing model
• TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL
• Chi-squared tests for evaluation and comparison of asset pricing models
• A testable version of the Pareto-Stable CAPM

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