Financial Econometrics: Empirical Analysis of Asset Pricing

Author: Zhou Guofu
Publisher:
Publish Date: 2002-01-01
Features: This book partly focuses on the empirical testing and computational analysis of linear asset pricing models, and proposes corresponding statistical testing methods. These models are based on the Nobel Prize-winning work of Sharpe-Lintner, including some recently extended linear theories. The second part studies the dependence of common linear theories on the assumptions of nonlinear theories. The third part compares the recently popular pricing function kernel theory with classical theories.