A MULTIVARIATE LINEAR-REGRESSION TEST FOR THE ARBITRAGE PRICING THEORY

被引：16

作者：

JOBSON, JD ^{[1
]}

机构：

[1] UNIV N CAROLINA,DEPT BIOSTAT,CHAPEL HILL,NC 27514

来源：

关键词：

D O I：

10.2307/2327765

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1037 / 1042

页数：6

共 15 条

[1]

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[2]

CHEN NF, 1979, ARBITRAGE PRICING TH

[3]

FINN JD, 1974, GENERAL MODEL MULTIV

[4] PROPERTIES OF SOME ESTIMATORS FOR THE ERRORS-IN-VARIABLES MODEL [J].

FULLER, WA .

[5]

JOBSON JD, 1981, UNPUB TESTING ZERO I

[6]

JOBSON JD, 1981, UNPUB STATISTICAL IN

[7]

JOBSON JD, 1981, UNPUB MEASUREMENT TE

[8]

Rao CR., 1951, B INT STATIST INST, V33, P177

[9]

RAO CR, 1973, LINEAR STATISTICAL I

[10] AN EMPIRICAL-INVESTIGATION OF THE ARBITRAGE PRICING THEORY [J].

ROLL, R ;

ROSS, SA .