المؤلفون: Bakalli, Gaetan, Guerrier, Stéphane, Scaillet, Olivier

المساهمون: EMLyon Business School (EM), Université de Genève = University of Geneva (UNIGE)

المصدر: ISSN: 0304-4076 ; Journal of Econometrics ; https://hal.science/hal-04325655 ; Journal of Econometrics, 2023, 237 (2 Part C), 27 p. ⟨10.1016/j.jeconom.2022.12.004⟩.

مصطلحات موضوعية: Two-pass regression, Predictive modeling, Large panel, Factor model, LASSO penalization, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.GESTION]Humanities and Social Sciences/Business administration

Relation: hal-04325655; https://hal.science/hal-04325655; https://hal.science/hal-04325655/document; https://hal.science/hal-04325655/file/728765-A%20penalized%20two-pass%20regression%20to%20predict%20stock%20returns%20with%20time-varying%20risk%20premia.pdf

الاتاحة: https://hal.science/hal-04325655
https://hal.science/hal-04325655/document
https://hal.science/hal-04325655/file/728765-A%20penalized%20two-pass%20regression%20to%20predict%20stock%20returns%20with%20time-varying%20risk%20premia.pdf
https://doi.org/10.1016/j.jeconom.2022.12.004

المؤلفون: Bakalli, Gaetan, Guerrier, Stéphane, Scaillet, Olivier

مصطلحات موضوعية: info:eu-repo/classification/ddc/650, Two-pass regression, Predictive modeling, Large panel, Factor model, LASSO penalization

Relation: https://archive-ouverte.unige.ch/unige:171637; unige:171637

الاتاحة: https://archive-ouverte.unige.ch/unige:171637

المؤلفون: Grassi, Stefano, Violante, Francesco

المصدر: Grassi , S & Violante , F 2021 ' Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas ' CREATES Research Paper , no. 2021-05 , Institut for Økonomi, Aarhus Universitet , Aarhus .

مصطلحات موضوعية: Cholesky decomposition, Multivariate GARCH, Asset Pricing, Time Varying Beta, Two Pass Regression

وصف الملف: application/pdf

Relation: https://pure.au.dk/portal/en/publications/40460b62-5a9f-45e9-a9d0-fc86d7294e75

الاتاحة: https://pure.au.dk/portal/en/publications/40460b62-5a9f-45e9-a9d0-fc86d7294e75
https://pure.au.dk/ws/files/211915385/rp21_05.pdf

المؤلفون: Jose Olmo, Gabriel Montes-Rojas, Antonio F. Galvao

مصطلحات موضوعية: Economics and Econometrics, Risk premium, Homogeneity (statistics), ASSET PRICING, STOCHASTIC DISCOUNT FACTOR, 05 social sciences, Economía y Negocios, Economía, Econometría, CIENCIAS SOCIALES, Homogeneous, 0502 economics and business, Econometrics, Economics, Capital asset pricing model, Asset (economics), 050207 economics, Null hypothesis, TWO-PASS REGRESSION, Social Sciences (miscellaneous), SLOPE HOMOGENEITY, 050205 econometrics, Factor analysis

وصف الملف: text; application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7d73748ef1449a3dd9a0111a88ffd4df
https://eprints.soton.ac.uk/427708/

المؤلفون: Hwang, Tienyu, Gao, Simon S, Owen, Heather

مصطلحات موضوعية: Capital asset pricing model, excess return, Idiosyncratic risk, market model, portfolio diversification, risk-return relationship, two-pass regression, UK stock market, United Kingdom, 332 Financial economics, HG Finance, eco, manag

Relation: https://doi.org/10.1108/10867371211229118

الاتاحة: https://doi.org/10.1108/10867371211229118

المؤلفون: Galvao, Antonio F., Montes Rojas, Gabriel Victorio, Olmo, José

مصطلحات موضوعية: ASSET PRICING, SLOPE HOMOGENEITY, TWO-PASS REGRESSION, STOCHASTIC DISCOUNT FACTOR, https://purl.org/becyt/ford/5.2, https://purl.org/becyt/ford/5

وصف الملف: application/pdf

Relation: http://hdl.handle.net/11336/119576; Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Olmo, José; Tests of asset pricing with time-varying factor loads; John Wiley & Sons Ltd; Journal of Applied Econometrics; 34; 5; 1-2019; 762-778; CONICET Digital; CONICET

الاتاحة: http://hdl.handle.net/11336/119576

المؤلفون: Muliasari, Dessy

المساهمون: Rodoni, Ahmad

مصطلحات موضوعية: unconditional beta model, two-pass regression, capital asset pricing model, conditional beta model, return, beta

Relation: 0111-11-10376;1967MJN e; http://repository.uinjkt.ac.id/dspace/handle/123456789/4562

الاتاحة: http://repository.uinjkt.ac.id/dspace/handle/123456789/4562