Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:reduced rank regression 

Report
Regression-based estimation of dynamic asset pricing models

We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The estimators explicitly allow for time-varying prices of risk, time-varying betas, and serially dependent pricing factors. Our approach nests the Fama-MacBeth two-pass estimator as a special case. We provide asymptotic multistage standard errors necessary to conduct inference for asset pricing test. We ...
Staff Reports , Paper 493

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Report 1 items

FILTER BY Author

FILTER BY Jel Classification

C58 1 items

G10 1 items

G12 1 items

FILTER BY Keywords

PREVIOUS / NEXT