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Abstract:

Econometrics Paper
Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach
Douglas J Hodgson, Oliver Linton and Keith Vorkink July 2000
Paper No' EM/2000/398:
Full Paper (pdf)

Tags: adaptive estimation; capital asset pricing model; efficiency

Adaptive estimation; capital asset pricing model; efficiency