Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey

Missing Data Methods: Time-Series Methods and Applications - Advances in Econometrics ◽

10.1108/s0731-9053(2011)000027b005 ◽

2011 ◽

pp. 87-178 ◽

Author(s):

Massimo Guidolin

Keyword(s):

Asset Pricing ◽

Portfolio Choice ◽

Markov Switching ◽

Pricing Models ◽

Asset Pricing Models

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Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance

SSRN Electronic Journal ◽

10.2139/ssrn.1107054 ◽

2008 ◽

Author(s):

Haitao Li ◽

Yuewu Xu ◽

Xiaoyan Zhang

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models

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On the Estimation of Asset Pricing Models Using Univariate Betas

SSRN Electronic Journal ◽

10.2139/ssrn.1330183 ◽

2009 ◽

Author(s):

Raymond Kan ◽

Cesare Robotti

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models

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Short-Selling Status and Asset-Pricing Models

SSRN Electronic Journal ◽

10.2139/ssrn.2018043 ◽

2012 ◽

Author(s):

Min Bai

Keyword(s):

Asset Pricing ◽

Short Selling ◽

Pricing Models ◽

Asset Pricing Models

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Implications of Predictability Across Horizons for Asset Pricing Models

SSRN Electronic Journal ◽

10.2139/ssrn.2184254 ◽

2012 ◽

Author(s):

Carlo A. Favero ◽

Fulvio Ortu ◽

Andrea Tamoni ◽

Haoxi Yang

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models

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Depicting the 'Elephant': When All Asset Pricing Models are Blind

SSRN Electronic Journal ◽

10.2139/ssrn.2208447 ◽

2012 ◽

Author(s):

qing zhou

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models

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Asset Pricing Models? - A Different Approach!

SSRN Electronic Journal ◽

10.2139/ssrn.2316415 ◽

2013 ◽

Author(s):

Vladislav Vacek ◽

Robert Gottfried Kuklik

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models

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Systematic Risk, Idiosyncratic Risk, and Asset Pricing Models: Empirical Evidence from the Vietnamese Stock Market

SSRN Electronic Journal ◽

10.2139/ssrn.2400513 ◽

2014 ◽

Author(s):

Ji (George) Wu ◽

Nguyen Cuong ◽

Andros Gregoriou

Keyword(s):

Asset Pricing ◽

Stock Market ◽

Empirical Evidence ◽

Systematic Risk ◽

Idiosyncratic Risk ◽

Pricing Models ◽

Asset Pricing Models

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A Nonparametric GMM Series Approach to Solving Multi-equation Asset Pricing Models with Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.3372147 ◽

2016 ◽

Author(s):

Liyuan Cui ◽

Yongmiao Hong

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Recursive Preferences ◽

Asset Pricing Models

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Online Appendix for 'Measuring the 'Dark Matter' in Asset Pricing Models'

SSRN Electronic Journal ◽

10.2139/ssrn.3461503 ◽

2019 ◽

Author(s):

Hui Chen ◽

Winston Dou ◽

Leonid Kogan

Keyword(s):

Dark Matter ◽

Asset Pricing ◽

Pricing Models ◽

Online Appendix ◽

Asset Pricing Models

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In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

SSRN Electronic Journal ◽

10.2139/ssrn.3454628 ◽

2019 ◽

Author(s):

Raymond Kan ◽

Xiaolu Wang ◽

Xinghua Zheng

Keyword(s):

Asset Pricing ◽

Pricing Models ◽

Asset Pricing Models ◽

Out Of Sample ◽

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