Semiparametric estimation of a characteristic-based factor model of common stock returns

Journal of Empirical Finance

Volumn 14, Issue 5, 2007, Pages 694-717

  Connor, Gregory ^a   Linton, Oliver ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Arbitrage pricing theory; Characteristic based factor model; Kernel estimation; Nonparametric estimation

Indexed keywords

EID: 35548970719     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2006.10.001     Document Type: Article

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