Empirical Asset Pricing Models Data, Empirical Verification, and Model Search /

This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or observed) factors. Particular emphasis is placed on the verification of essential factors and features for asset returns through model search approaches, in which...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Jeng, Jau-Lian (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Cham : Springer International Publishing : Imprint: Palgrave Macmillan, 2018.
Έκδοση:1st ed. 2018.
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Πίνακας περιεχομένων:
  • Part I Asset Pricing Models: Discussions and Statistical Inferences
  • 1. Asset Pricing Models: Specification, Data and Theoretical Foundation
  • 2. Statistical Inferences with Specification Tests
  • 3. Statistical Inferences with Model Selection Criteria
  • Part II The Alternative Methodology. - 4. Finding Essential Variables in Empirical Asset Pricing Models
  • 5. Hypothesis Testing with Model Search.