Article thumbnail

Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models

By Min-Hsien Chiang and Chihwa Kao

Abstract

HAC, GMM, Kernel, VARHAC, Prewhitening, Asset Pricing

OAI identifier:
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://web.syr.edu/~cdkao (external link)

  • To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.

    Suggested articles