Author: Yong-ho BaekPublisher:
ISBN:
Category :
Languages : en
Pages : 122
Book Description
Maximum-likelihood Estimation of the Consumption-based Capital-asset Pricing Model
Author: Yong-ho BaekEstimating the Continuous Time Consumption Based Asset Pricing Model
Author: Sanford J. GrossmanPublisher: London : Department of Economics, University of Western Ontario
ISBN: 9780771406362
Category : Capital assets pricing model
Languages : en
Pages : 33
Book Description
The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between percapita consumption growth and asset returns. Estimation and testingis complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or unit average of the consumption flow is available. In our paper, we show how to estimate the parameters of interest consistently from the available data by maximum likelihood. We estimate the market's degree of relative risk aversion and the instantaneous covariances of asset yields and consumption using six different data sets. We also test the model's overidentifying restrictions
A Multivariate GARCH in Mean Estimation of the Capital Asset Pricing Model
Author: S. G. HallTime-series Tests of a Non-expected-utility Model of Asset Pricing
Author: Alberto GiovanniniPublisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 22
Book Description
Robust Estimation and Forecasting of the Capital Asset Pricing Model
Author: Guorui BianPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 23
Book Description
Influence Diagnostics in the Capital Asset Pricing Model Under Elliptical Distributions
Author: Manuel GaleaPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 30
Book Description
Estimating the Consumption-capital Asset Pricing Model Without Consumption Data
Author: Anne- Sofie Reng RasmussenPublisher:
ISBN:
Category :
Languages : en
Pages : 50
Book Description
The Econometric Problems Associated with Size-sorted Portfolios in Empirical Tests of the Capital Asset Pricing Model
Author: Pierre Henri HillionPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 574
Book Description
The Consumption-based Capital Asset Pricing Model
Author: Darrell DuffiePublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 23
Book Description
Author: