A new test on the conditional capital asset pricing model

DOI10.1007/S11766-015-3351-2zbMath1340.91036OpenAlexW1418002770MaRDI QIDQ904132

Xiafei Li, Yu Ren, Zong-Wu Cai

Publication date: 15 January 2016

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-015-3351-2

zbMATH Keywords

bootstrap testlarge sample theoryasset pricing modelconditional capital asset pricing model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Bootstrap hypothesis testing in regression models
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

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