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Titlebook: Empirical Asset Pricing Models; Data, Empirical Veri Jau-Lian Jeng Book 2018 The Editor(s) (if applicable) and The Author(s) 2018 forecasta

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發(fā)表于 2025-3-21 20:09:38 | 只看該作者 |倒序?yàn)g覽 |閱讀模式
書(shū)目名稱(chēng)Empirical Asset Pricing Models
副標(biāo)題Data, Empirical Veri
編輯Jau-Lian Jeng
視頻videohttp://file.papertrans.cn/309/308849/308849.mp4
概述Positions forecastability as one of several statistical criteria for verifying model specification.Discusses cross-sectional properties of asset pricing models.Details model selection criteria and seq
圖書(shū)封面Titlebook: Empirical Asset Pricing Models; Data, Empirical Veri Jau-Lian Jeng Book 2018 The Editor(s) (if applicable) and The Author(s) 2018 forecasta
描述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 non-diversifiability and statistical inferences are considered. The discussion reemphasizes the necessity of maintaining a dichotomy between the nondiversifiable pricing kernels and the individual components of stock returns when empirical asset pricing models are of interest. In particular, the model search approach (with this dichotomy emphasized) for empirical model selection of asset pricing is applied to discover the pricing kernels of asset returns.
出版日期Book 2018
關(guān)鍵詞forecastability; diversifiability; dimensionality; ; kernel; measurability; asset pricing; risk management;
版次1
doihttps://doi.org/10.1007/978-3-319-74192-5
isbn_softcover978-3-030-08932-0
isbn_ebook978-3-319-74192-5
copyrightThe Editor(s) (if applicable) and The Author(s) 2018
The information of publication is updating

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發(fā)表于 2025-3-21 22:28:20 | 只看該作者
https://doi.org/10.1007/978-3-663-06750-4 search is to pursue the optimality in approximation that the basic requirement for these presumed variables or factors will satisfy the coherence condition where cross-sectional dependence is persistent.
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發(fā)表于 2025-3-22 06:16:30 | 只看該作者
Hypothesis Testing with Model Search search is to pursue the optimality in approximation that the basic requirement for these presumed variables or factors will satisfy the coherence condition where cross-sectional dependence is persistent.
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發(fā)表于 2025-3-22 12:36:41 | 只看該作者
sset pricing models.Details model selection criteria and seqThis 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
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發(fā)表于 2025-3-22 14:38:53 | 只看該作者
https://doi.org/10.1007/978-3-476-05375-6eturns are projected onto some lower-dimensional sets of factors that possibly explain the major variations of asset returns. The aim is to identify major determinants for the fluctuations of asset returns where these determinants satisfy some systematic properties that ensure their indispensable roles.
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