C51 - Model Construction and Estimation

Citations 1-6 of 6 total displayed.

Most recent content (1 May 2007):

Articles
Stock Return Predictability: Is it There?

Andrew Ang and Geert Bekaert
Rev. Financ. Stud. 2007; 20: 651-707. [Abstract] [Full text] [PDF]  

Past content (since Jan 1992):

Articles
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aït-Sahalia, Per A. Mykland, and Lan Zhang
Rev. Financ. Stud. 2005; 18: 351-416. [Abstract] [Full text] [PDF]  

Articles
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates

Yongmiao Hong and Haitao Li
Rev. Financ. Stud. 2005; 18: 37-84. [Abstract] [Full text] [PDF]  

Articles
Conditioning Information and Variance Bounds on Pricing Kernels

Geert Bekaert and Jun Liu
Rev. Financ. Stud. 2004; 17: 339-378. [Abstract] [Full text] [PDF]  

Articles
Modeling asymmetric comovements of asset returns

KE Kroner and VK Ng
Rev. Financ. Stud. 1998; 11: 817-844. [Abstract] [PDF]  

Articles
On the estimation of beta-pricing models

J Shanken
Rev. Financ. Stud. 1992; 5: 1-55. [Abstract] [PDF]