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Semiparametric estimation of a characteristic-based factor model of stock returns

Connor, G.
Linton, O.
London School of Economics (United Kingdom). Financial Markets Group

Publication date

January 2000

DOI

10.2139/ssrn.209729

ISSN

1556-5068

Citation count (estimate)

39

Abstract

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(346) / BLDSC - British Library Document Supply CentreGBUnited Kingdo

Extracted data

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London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(97/326) / BLDSC - British Li...

Factors or fantasies? An analysis of stock returns by industry

Green, C.J.
Zhuang, Y.
Maggioni, P.
Loughborough Univ. of Technology (United Kingdom). Dept. of Economics

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3654.479(97/8) / BLDSC - British Libr...

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Pesaran, M.
Timmermann, A
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:3509.88(CU-DAE-WP--9216) / BLDSC - B...

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Pesaran, M.H.
Timmermann, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(322) / BLDSC - British Libra...

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London School of Economics (United Kingdom)

January 1987

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.4615(LSE-EPR-DP--11) / BLDSC - ...

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Neiss, K.S.
Pappa, E.
Bank of England, London (United Kingdom)

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.8308(no 154) / BLDSC - British L...

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January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN035545 / BLDSC - British Library D...

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Hallin, M.
Lippi, M.
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January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9512(2338) / BLDSC - British Lib...

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Perez-Quiros, G.
Timmermann, A.
London School of Economics (United Kingdom). Financial Markets Group

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(335) / BLDSC - British Libra...

A test for the number of factors in an approximate factor model

Connor, G.
Korajczyk, R.A
London School of Economics (United Kingdom). Financial Markets Group

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--137) / BLDSC - ...

Can output explain the predictability and volatility of stock returns

Rodriguez, R.
Restoy, F.
Pena, J.I.
Centre for Economic Policy Research, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9512(1995) / BLDSC - British Lib...

Trading volume and the subordinated stochastic process model of stock returns

Rougier, J
Durham Univ. (United Kingdom). Dept. of Economics

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.1059(DUDE-WP--113) / BLDSC - Br...

Semiparametric estimation of a characteristic-based factor model of common stock returns

Connor, Gregory

January 2007

We introduce an alternative version of the Fama–French three-factor model of stock returns together ...

An analysis of parametric and non-parametric models of the MSCI Belgium index

Wood, D.
Spigt, M.H
Manchester Business School (United Kingdom)

January 1994

SIGLEAvailable from British Library Document Supply Centre- DSC:9349.712(MBS-WP--289) / BLDSC - Brit...