Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
39 Pages Posted: 21 Jul 2008
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Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
Number of pages: 26
Posted: 13 Sep 2001
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359
Date Written: July 2000
Abstract
Adaptive estimation; capital asset pricing model; efficiency
JEL Classification: C13, C14
Suggested Citation: Suggested Citation
Hodgson, Douglas J. and Linton, Oliver B. and Vorkink, Keith, Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach (July 2000). LSE STICERD Research Paper No. EM398, Available at SSRN: https://ssrn.com/abstract=1162589
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