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Volumn 59, Issue 1, 1997, Pages 178-180

A reduced rank regression approach to tests of asset pricing

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EID: 17744390428     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00055     Document Type: Article
Times cited : (4)

References (17)
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  • 5
    • 0002498759 scopus 로고
    • A Unified Beta Pricing Theory
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    • Stable Factors in Security Returns: Identification Using Cross-Validation
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    • (1988) Journal of Business & Economic Statistics , vol.6 , pp. 1-15
    • Conway, D.A.1    Reinganum, M.R.2
  • 8
    • 0003289170 scopus 로고
    • Tests of Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio
    • Gibbons, M. and Ferson, W. (1985). 'Tests of Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio', Journal of Financial Economics, Vol. 14, pp. 217-36.
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    • Gibbons, M.1    Ferson, W.2
  • 9
    • 50849147784 scopus 로고
    • An Empirical Examination of the Arbitrage Pricing Theory
    • Hamao, Y. (1988). 'An Empirical Examination of the Arbitrage Pricing Theory', Japan and the World Economy, Vol. 1, pp. 45-61.
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    • Hamao, Y.1
  • 10
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    • Mean Variance Spanning
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  • 11
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    • Reduced Rank Regression for the Multivariate Linear Model
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    • Izemnan, A.J.1
  • 12
    • 0000158117 scopus 로고
    • Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
    • Johansen, S. (1991). 'Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models', Econometrica, Vol. 59, pp. 1551-80.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 13
    • 17744395447 scopus 로고
    • A Theorem on Least Squares Multivariate Linear Regression
    • Khatri, C. G. (1976). 'A Theorem on Least Squares Multivariate Linear Regression', Journal of the American Statistical Association, Vol. 62, pp. 1494-95.
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  • 14
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    • Testing for Unit Roots in Time Series Data
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  • 15
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    • The Arbitrage Theory of Capital Asset Pricing
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  • 16
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    • Reduced Rank Regression and Canonical Analysis
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  • 17
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.