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Working Paper
On a problem in identifying linear parametric models
Von zur Muehlen, Peter; Swamy, P. A. V. B. (1988)
Finance and Economics Discussion Series , Paper 28

Working Paper
Solving an Empirical Puzzle in the Capital Asset Pricing Model
Swamy, P. A. V. B.; Leusner, John H.; Akhavein, Jalal D.
A long standing puzzle in the Capital Asset Pricing Model (CAPM) has been the inability of empirical work to validate it. This paper presents a new approach to estimating the CAPM, taking into account the differences between observable and expected returns for risky assets and for the market portfolio of all traded assets, as well as inherent nonlinearities and the effects of excluded variables. Using this approach, we provide evidence that the relation between the observable returns on stock and market portfolios is nonlinear.
Finance and Economics Discussion Series , Paper 1996-14

Working Paper
Modeling buffer stock money - an appraisal
Swamy, P. A. V. B.; Tavlas, George S. (1988)
Finance and Economics Discussion Series , Paper 15

Working Paper
Some problems with identification in parametric models
Swamy, P. A. V. B.; Mehta, J. S.; Von zur Muehlen, Peter (1990)
Finance and Economics Discussion Series , Paper 144

Working Paper
A general method of deriving the efficiencies of banks from a profit function
Swamy, P. A. V. B.; Taubman, Stephen B.; Akhavein, Jalal D. (1994)
Finance and Economics Discussion Series , Paper 94-11

Working Paper
On the use of variance ratios in the analysis of nonstationary time series
Chandrakantha, M. S. Leslie; Swamy, P. A. V. B.; Mehta, J. S. (1989)
Finance and Economics Discussion Series , Paper 89-97

Working Paper
Solving an empirical puzzle in the capital asset pricing model
Swamy, P. A. V. B.; Leusner, John H.; Akhavein, Jalal D. (1996)
A long standing puzzle in the Capital Asset Pricing Model (CAPM) has been the inability of empirical work to validate it. This paper presents a new approach to estimating the CAPM, taking into account the differences between observable and expected returns for risky assets and for the market portfolio of all traded assets, as well as inherent nonlinearities and the effects of excluded variables. Using this approach, we provide evidence that the relation between the observable returns on stock and market portfolios is nonlinear.
Finance and Economics Discussion Series , Paper 96-14

Working Paper
Exchange rate episodes and the passthrough of exchange rates to import prices
Swamy, P. A. V. B.; Thurman, Stephan S. (1993)
Finance and Economics Discussion Series , Paper 93-25

Working Paper
Coherent methods of estimating technical progress
Sneed, John D.; Swamy, P. A. V. B.; Lupo, Leonard A. (1989)
Finance and Economics Discussion Series , Paper 77

Working Paper
Efficient computation of stochastic coefficients models
Swamy, P. A. V. B.; Chang, I-Lok; Hallahan, Charles (1990)
Finance and Economics Discussion Series , Paper 132

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