Empirical tests of the arbitrage pricing theory using measured variables rely on the accuracy of standard inferential theory in approximating the distribution of the estimated risk premiums andâ€¦ (More)

Abstract: The article proposes a computationally efficient procedure for bias adjustment in the iterated bootstrap. The new technique replaces the need for successive levels of bootstrap resamplingâ€¦ (More)

PRELIMINARY AND INCOMPLETE In this paper we use a probabilistic approach to risk factor selection in the arbitrage pricing theory model. The methodology uses a bayesian framework to select theâ€¦ (More)

We propose a computationally efficient approximation for the double bootstrap bias adjustment factor without using the inner bootstrap loop. The approximation converges in probability to theâ€¦ (More)

This paper provides a Bayesian analysis of the historical risk premium in the US monthly portfolios returns. The study investigates the importance of non-traded economic risks in the pricing ofâ€¦ (More)

This paper assesses the finite sample refinements of the block bootstrap and the Non-Parametric Bootstrap for conditional moment models. The study recononsiders inference in the generalized method ofâ€¦ (More)

We study the out-of-sample forecast performance of two alternative methods for dealing with dimensionality: Bayesian model Averaging (BMA) and principal components regression (PCR). We conduct aâ€¦ (More)

Empirical tests of the arbitrage pricing theory using measured variables rely on the accuracy of standard inferential theory in approximating the distribution of the estimated risk premiums andâ€¦ (More)