Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps

Bent E. Sørensen, Mun S. Ho, R.M. Perraudin

Publikation: Working paper › Forskning

Originalsprog	Engelsk
Udgiver	Department of Economics, University of Copenhagen
Antal sider	44
Status	Udgivet - 1992

Citationsformater

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title = "Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps",

author = "S{\o}rensen, {Bent E.} and Ho, {Mun S.} and R.M. Perraudin",

year = "1992",

language = "English",

publisher = "Department of Economics, University of Copenhagen",

address = "Denmark",

type = "WorkingPaper",

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T1 - Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps

AU - Sørensen, Bent E.

AU - Ho, Mun S.

AU - Perraudin, R.M.

PY - 1992

Y1 - 1992

M3 - Working paper

BT - Multivariate Tests of a Continuous Time Equilibrium Arbitrage Pricing Theory with Conditional Heteroskedasticity and Jumps

PB - Department of Economics, University of Copenhagen

ER -