Download or read book A Synthesis of Factor Pricing Model Specifications Tests and Applications written by Robert T. Uhlaner and published by . This book was released on 1994 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Linear Factor Pricing Models with Individual Securities in Japan written by Ryohei Oishi and published by . This book was released on 2018 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study proposes a multivariate test for linear factor asset pricing models when the number of assets, N, is larger than the time dimension of returns, T. We extend the exact test proposed by Gibbons et al. (1989) to obtain a nonsingular covariance matrix with fewer estimation errors in the case of T

Download or read book An Application of Factor Pricing Models to the Polish Stock Market written by Adam Zaremba and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model (Sharpe 1964), the Fama and French (1993) three-factor model, Carhart's (1997) four-factor model, and the five-factor model of Fama and French (2015). We aim to establish which of these models is most applicable in the Polish stock market. To do so, we employ a battery of tests -- cross-sectional regressions, examination of one-way and two-way sorted portfolios, tests of monotonic relationships, and factor redundancy tests -- and apply them to a sample of more than 1100 stocks for the years 2000-2018. The results indicate that the four-factor model outperforms the other models; it has the greatest explanatory power for cross-sectional returns and is therefore well-suited for asset pricing in Poland.

Download or read book Essays on Testing Functional Coefficient Models and Applications in Finance written by Xingtong Zhang and published by . This book was released on 2020 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on specification tests on functional coefficient models via the Fourier transform and applications on conditional asset pricing models. The first essay, "An Asymptotically Efficient Test for Functional Coefficient Models", proposes a consistent test for model specification in a functional coefficient model that uses the discrete Fourier transform of a consistent nonparametric estimator of the random coefficient. As a generalization of the conditional moment tests by Bierens (1980, 1982), it is applicable in testing part of the coefficient functions, rather than testing for all of the them jointly. Although a nonparametric estimation step is included, my method is able to detect local alternatives at a rate of root T, owing to the U-process structure of the test statistics. Monte Carlo studies demonstrate that my method outperforms current nonparametric tests, such as the generalized likelihood ratio test by Fan et al. (2001) and the Wald-typed tests by Li et al. (2002), especially when the sample size decreases and the dimension of the state variables increases. In the second essay titled "A Consistent Model Specification Test for Functional Coefficient Models", I propose a consistent test for model specifications in functional coefficient models via discrete Fourier transform (DFT). The DFT of the sample score function can extract the local property of unknown parameters over the state variable. Therefore, my test avoids nonparametric estimation and is asymptotically more efficient than the existing nonparametric tests. It can detect a class of local alternatives at the parametric rate. Furthermore, my test allows the regressors and the state variables to be the same and is also robust to heteroscedasticity and serial correlation. Simulation studies show that the proposed test has reasonable size and excellent power against various misspecifications of coefficient functions. The two essays both aim at improving the efficiency of the tests over existing nonparametric tests in the literature. Rather than the same, they can be viewed as complement to each other. The first involves a step of nonparametric estimation and thus can test part of coefficient functions, rather than the joint test for all of the coefficient functions in the model. The drawback is that it is not tuning parameter free. The second uses a score function approach which is based on the residuals from the parametric estimation and is free of nonparametric estimation. Both have their merits and limitations and together provide a system of more efficient methods that can be applied in various economics circumstances. The third essay, "How Does Smooth Structural Change Affect Asymmetric Dependence in Foreign Exchange market?", I use a copula approach based on Patton (2006) to model this asymmetric exchange rate dependence and investigate how different but reasonable specification of marginal distribution affect the asymmetric behavior between mark-dollar and yen-dollar exchange rates. Central banks are facing a trade-off between export competitiveness and price stability, which will result in an asymmetric dependence behavior among currencies during joint appreciations versus during joint depreciation. It is plausible that the change pace of the underlying economic mechanism and technological progress can cause the structural change of exchange rate in a country. Furthermore, since the pattern of correlation or dependence structure is determined by second or higher order moment, we would expect the marginal structural change in volatility to change the dependence structure in joint distribution. This chapter can also serve as an empirical evidence of implementing smooth structural change into test for asymmetric correlations, proposed by Hong, Tu and Zhou (2007).

Download or read book Air Force Journal of Logistics written by and published by . This book was released on 1982 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book NBS Special Publication written by and published by . This book was released on 1974 with total page 1016 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Competing Factor Pricing Models written by Paul Söderlind and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure time Models written by Arthur Lewbel and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Natural Based Polymers for Biomedical Applications written by Tatiana G. Volova and published by CRC Press. This book was released on 2017-04-21 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new book presents the authors’ biomedical studies of natural degradable biopolymers (polyhydroxyalkanoates [PHAs]) and discusses the demand for medical-grade materials and modern trends, focusing on the present status and future potential of PHAs. The authors present and summarize their most important results and findings obtained during the last few years in experimental studies and clinical trials of PHAs at the Institute of Biophysics Siberian Branch of Russian Academy of Science.

Download or read book Encyclopedia of Spectroscopy and Spectrometry written by and published by Academic Press. This book was released on 2016-09-22 with total page 3716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This third edition of the Encyclopedia of Spectroscopy and Spectrometry, Three Volume Set provides authoritative and comprehensive coverage of all aspects of spectroscopy and closely related subjects that use the same fundamental principles, including mass spectrometry, imaging techniques and applications. It includes the history, theoretical background, details of instrumentation and technology, and current applications of the key areas of spectroscopy. The new edition will include over 80 new articles across the field. These will complement those from the previous edition, which have been brought up-to-date to reflect the latest trends in the field. Coverage in the third edition includes: Atomic spectroscopy Electronic spectroscopy Fundamentals in spectroscopy High-Energy spectroscopy Magnetic resonance Mass spectrometry Spatially-resolved spectroscopic analysis Vibrational, rotational and Raman spectroscopies The new edition is aimed at professional scientists seeking to familiarize themselves with particular topics quickly and easily. This major reference work continues to be clear and accessible and focus on the fundamental principles, techniques and applications of spectroscopy and spectrometry. Incorporates more than 150 color figures, 5,000 references, and 300 articles for a thorough examination of the field Highlights new research and promotes innovation in applied areas ranging from food science and forensics to biomedicine and health Presents a one-stop resource for quick access to answers and an in-depth examination of topics in the spectroscopy and spectrometry arenas

Download or read book Publications of the National Bureau of Standards Catalog written by United States. National Bureau of Standards and published by . This book was released on 1978 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Catalog of National Bureau of Standards Publications 1966 1976 written by United States. National Bureau of Standards and published by . This book was released on 1978 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reliability Abstracts and Technical Reviews written by United States. National Aeronautics and Space Administration. Office of Reliability and Quality Assurance and published by . This book was released on 1967 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book From Zero Waste to Material Closed Loop written by Jianming Yang and published by Springer Nature. This book was released on 2022-01-22 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book interprets the economic benefits and social benefits brought about by zero waste. Beginning with the general history of waste, its mechanism and different categories, this book first explores waste management and resourcing technology around the world nowadays. It then elaborates on the concept and practices of zero waste, discussing about the relationship between zero waste and eco-design, and about relative international standards. At last, it points out that zero waste could be the pathway from linear economy to circular economy, backed up by theories and practices. This book offers a clear direction for companies and organizations about environment. It can also be used as a sustainable development strategy handbook for executives in companies and organizations.

Download or read book Quality of Synthetic Speech written by Florian Hinterleitner and published by Springer. This book was released on 2017-04-07 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reviews research towards perceptual quality dimensions of synthetic speech, compares these findings with the state of the art, and derives a set of five universal perceptual quality dimensions for TTS signals. They are: (i) naturalness of voice, (ii) prosodic quality, (iii) fluency and intelligibility, (iv) absence of disturbances, and (v) calmness. Moreover, a test protocol for the efficient indentification of those dimensions in a listening test is introduced. Furthermore, several factors influencing these dimensions are examined. In addition, different techniques for the instrumental quality assessment of TTS signals are introduced, reviewed and tested. Finally, the requirements for the integration of an instrumental quality measure into a concatenative TTS system are examined.

Download or read book Shortening the Path from Specification to Prototype written by and published by . This book was released on 2002 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: