haku: @author Zhou, G. / yhteensä: 5
viite: 4 / 5
| Tekijä: | Zhou, G. |
| Otsikko: | Analytical GMM tests: asset pricing with time-varying risk premiums |
| Lehti: | Review of Financial Studies
1994 : WINTER, VOL. 7:4, P. 687-710 |
| Asiasana: | ASSETS PERFORMANCE APPRAISAL RISK |
| Kieli: | eng |
| Tiivistelmä: | The author proposes alternative generalized method of moments (GMM) tests that are analytically solvable in many econometric models, yielding in particular analytical GMM tests for asset pricing models with time-varying risk premiums. The author also provides simulation evidence showing that the proposed tests have good finite sample properties and that their asymptotic distribution is reliable for the sample size commonly used. |
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