Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds-Reference-Cited by-同舟云学术

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Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

Published:2023-09 Issue:1 Volume:236 Page:105464
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Beaulieu Marie-Claude,Dufour Jean-Marie,Khalaf Lynda,Melin Olena

Funder

Natural Sciences and Engineering Research Council of Canada

Social Sciences and Humanities Research Council of Canada

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference65 articles.

1. Financial intermediaries and the cross-section of asset returns;Adrian;J. Finance,2014

2. Factor model with many assets: strong factors, weak factors and two-pass procedure;Anatolyev;J. Econometrics,2022

3. Value and momentum everywhere;Asness;J. Finance,2013

4. Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors;Beaulieu;J. Bus. Econom. Statist.,2007

5. Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions;Beaulieu;J. Empir. Financ.,2010

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