Efficient Semiparametric Estimation of the Fama-French Model and Extensions

Econometrica

Volumn 80, Issue 2, 2012, Pages 713-754

  Connor, Gregory ^a   Hagmann, Matthias ^b   Linton, Oliver ^c  

^a NATIONAL UNIVERSITY OF IRELAND   (Ireland)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Additive models; Arbitrage pricing theory; Characteristic based factor model; Kernel estimation; Nonparametric regression

Indexed keywords

EID: 84858597462     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA7432     Document Type: Article

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