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Efficient Estimation of Conditional Asset-Pricing Models
16 references·5 citing·21 second hop
Efficient Estimation of Conditional Asset-Pricing Models (2003)Efficient Estimation of Conditional Asset…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The variation of certain speculative prices (1997)The variation of certain spec…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeThe World Price of Covariance Risk (1991)The World Price of Covariance…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…New testing approaches for mean–variance predictability (2020)New testing approaches for me…Tests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank (2015)Semiparametric error-correcti…SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS (2007)SEMIPARAMETRIC MULTIVARIATE V…Return Distributions and Improved Tests of Asset Pricing Models (2003)Return Distributions and Impr…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited

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1991
The World Price of Covariance Risk
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Cited by

  • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited
  • 2003Return Distributions and Improved Tests of Asset Pricing Models24 cited
  • 2007SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS23 cited
  • 2020New testing approaches for mean–variance predictability23 cited
  • 2015Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank12 cited