Title of article :
Estimating the arbitrage pricing theory with observed macro factors
Author/Authors :
Elder، نويسنده , , John ، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1997
Abstract :
Analytical results are presented that drastically simplify joint estimation of the APT by Non-linear SUR and maximum likelihood when the factors are measured. Four alternative analytical expressions for calculating standard errors are also presented. © 1997 Elsevier Science S.A.
Keywords :
Arbitrage pricing theory , Non-linear seemingly unrelated regressions
Journal title :
Economics Letters
Journal title :
Economics Letters
