Asset Pricing Model Specification And the Term Structure Evidence
Asset Pricing Model Specification And the Term Structure Evidence
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, X, ] interpretable as factor loadings. Elements of £ may be correlated here however, e. G. , in the multivariate marginal distribution of (X, X_), covCX, /^) = ^2^3\t "^ coy{c-^, z2), which is more general than if (14)were specified as a factor model. It may also be verified that (15) will not be identified without a normalization on the \_ coefficients or on the variance of an element of £. Here, we set X, = 1.
Five indicator variables X. , j = 1, ... , 5, are used in the tests here. They ar...e: (i) percentage changes in seasonally adjusted retail sales of ■nondurable consumer goods; (ii) percentage changes in industrial production of nondurable consumer goods; (iii) the average realized real rate of interest on one-month T-bills over the past twelve months; (iv) the growth rate in the monetary base over the past twelve months; and (v) percentage changes in an interpolated monthly series of changes in Quarterly per capita consumption estimates reported in the Survey of Current Business .
What to read after Asset Pricing Model Specification And the Term Structure Evidence?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
, X, ] interpretable as factor loadings. Elements of £ may be correlated here however, e. G. , in the multivariate marginal distribution of (X, X_), covCX, /^) = ^2^3\t "^ coy{c-^, z2), which is more general than if (14)were specified as a factor model. It may also be verified that (15) will not be identified without a normalization on the \_ coefficients or on the variance of an element of £. Here, we set X, = 1.
Five indicator variables X. , j = 1, ... , 5, are used in the tests here. They ar...e: (i) percentage changes in seasonally adjusted retail sales of ■nondurable consumer goods; (ii) percentage changes in industrial production of nondurable consumer goods; (iii) the average realized real rate of interest on one-month T-bills over the past twelve months; (iv) the growth rate in the monetary base over the past twelve months; and (v) percentage changes in an interpolated monthly series of changes in Quarterly per capita consumption estimates reported in the Survey of Current Business .
What to read after Asset Pricing Model Specification And the Term Structure Evidence?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
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