Cross-Sectionally Correlated Measurement Errors in Two-Pass Regression Tests of Asset-Pricing Models

DOI10.1142/9789811202391_0098zbMath1454.91314OpenAlexW3080912246MaRDI QIDQ5139535

Thomas Gramespacher, Armin Bänziger, Norbert Hilber

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0098

zbMATH Keywords

simulationasset pricingmeasurement errorerrors in variablesCAPMidiosyncratic risktwo-pass regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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