Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) LSE RSS Contact Us YouTube Twitter

Search by Keyword:
You searched for "additive models"

Econometrics Paper
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns Gregory Connor, Matthias Hagmann and Oliver Linton October 2007
Paper No' EM/2007/524:
Read Abstract | Full Paper (pdf)

JEL Classification: G12; C14

Tags: additive models; arbitrage pricing theory; factor model; fama-french; kernel estimation; nonparametric regression; panel data.