Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroscadasticity and Jumps

Mun Ho, William Perraudin and Bent Sorensen

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Keywords: pricing; economic models (search for similar items in EconPapers)
Pages: 41 pages
Date: 1992
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Working Paper: Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps (1992)
Working Paper: Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps
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