Peso problems in the estimation of the C‐CAPM

DOI10.3982/QE1478MaRDI QIDQ5087331zbMATH OpenOpenAlexFDO

Authors Juan Carlos Parra-Alvarez, Olaf Posch, Andreas Schrimpf

Publication date 11 July 2022

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/qe1478

zbMATH Keywords

rare eventsC-CAPMasset pricing errors

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited in

(1)

• CAPM-anomalies: quantitative puzzles

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