Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-Beta Models
نویسندگان
چکیده
منابع مشابه
Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-beta Models
This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1) identify all relevant sources of risk and 2) assume a linear factor model for asset returns. Testing multi-beta models in terms of restricted MV kernels has th...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.2491105