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Kan, Raymond [Author]; Robotti, Cesare [Author]

A note on the estimation of asset pricing models using simple regression betas

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Atlanta, GA: Federal Reserve Bank of Atlanta, 2009
Grassi, Stefano [Author]; Violante, Francesco [Author]

Asset pricing using Block-Cholesky GARCH and time-varying betas

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[Rom]: CEIS Tor Vergata, [2021]

Published in: CEIS Tor Vergata research papers ; 510
Grassi, Stefano [Author]; Violante, Francesco [Author]

Asset pricing using Block-Cholesky GARCH and time-varying betas

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Palaiseau, France: Center for Research in Economics and Statistics, [2021]

Published in: Working paper series ; 2021,5
Grassi, Stefano [Author]; Violante, Francesco [Author]

Asset pricing using block-cholesky GARCH and time-varying betas

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Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, [2021]

Published in: Aarhus Universitet: CREATES research paper ; 2021,5
Bakalli, Gaetan [Author]; Guerrier, Stéphane [Author]; Scaillet, Olivier [Author]

A penalized two-pass regression to predict stock returns with time-varying risk premia

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Geneva: Swiss Finance Institute, 2021

Published in: Swiss Finance Institute: Research paper series ; 2021,9
Liao, Zhipeng [Author]; Liu, Yan [Author]

Optimal Cross-Sectional Regression

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[S.l.]: SSRN, [2021]
Ait-Sahalia, Yacine [Author] ; Jacod, Jean [Other]; Xiu, Dacheng [Other]

Inference on Risk Premia in Continuous-Time Asset Pricing Models

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[S.l.]: SSRN, [2020]

Published in: Chicago Booth Research Paper ; No. 20-30
Pesaran, M. Hashem [Author]; Smith, Ron P. [Author]

The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models

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Munich: Center for Economic Studies and ifo Institute (CESifo), 2019
Pesaran, M. Hashem [Author]; Smith, Ron [Author]

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

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Munich, Germany: CESifo, Center for Economic Studies & Ifo Institute, April 2021

Published in: CESifo GmbH: CESifo working papers ; 9001
Pesaran, M. Hashem [Author]; Smith, Ron P. [Author]

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

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Munich: Center for Economic Studies and Ifo Institute (CESifo), 2021
Kan, Raymond [Author]; Robotti, Cesare [Author]; Shanken, Jay [Author]

Pricing model performance and the two-pass cross-sectional regression methodology

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Atlanta, GA: Federal Reserve Bank of Atlanta, 2009
Bai, Jushan [Author] ; Zhou, Guofu [Other]

Fama-MacBeth Two-Pass Regressions : Improving Risk Premia Estimates

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[S.l.]: SSRN, [2015]
Kan, Raymond [Author] ; Robotti, Cesare [Other]; Shanken, Jay A. [Other]

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

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[S.l.]: SSRN, [2014]
Ahn, Seung C. [Author] ; Gadarowski, Christopher [Other]; Perez, Marcos Fabricio [Other]

Risk Premium Estimation with Multicollinear and Invariant Betas by the Two-Pass Cross-Sectional Regressions

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[S.l.]: SSRN, [2011]
Ahn, Seung C. [Author] ; Gadarowski, Christopher [Other]; Perez, Marcos Fabricio [Other]

Two-Pass Cross-Sectional Regression of Factor Pricing Models : A Minimum Distance Approach

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[S.l.]: SSRN, [2011]
Kan, Raymond [Author] ; Robotti, Cesare [Other]; Shanken, Jay A. [Other]

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

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[S.l.]: SSRN, [2010]

Published in: NBER Working Paper ; No. w15047
Kan, Raymond [Author] ; Robotti, Cesare [Other]; Shanken, Jay [Other] National Bureau of Economic Research

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

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Cambridge, Mass: National Bureau of Economic Research, June 2009

Published in: NBER working paper series ; no. w15047
Connor, Gregory [Author] ; Korajczyk, Robert A. [Other]; Uhlaner, Robert T. [Other]

Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components

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[S.l.]: SSRN, [2009]
Ahn, Seung C. [Author] ; Gadarowski, Christopher [Other]

Two-Pass Cross-Sectional Regression of Factor Pricing Models : Minimum Distance Approach

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[S.l.]: SSRN, [1999]
Bai, Jushan; Zhou, Guofu

Fama-Macbeth Two-Pass Regressions: Improving Risk Premia Estimates

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Elsevier BV, 2015

Published in: SSRN Electronic Journal (2015)

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