Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach

Douglas J Hodgson, Oliver Linton and Keith Vorkink

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: Adaptive estimation; capital asset pricing model; efficiency

Keywords: Adaptive estimation; capital asset pricing model; efficiency (search for similar items in EconPapers)
Date: 2000-07
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach (2002)
Journal Article: Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach (2002)
Working Paper: Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach (2001)
Working Paper: Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach (2001)
Working Paper: Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach (2000)
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