All Stories

  1. Market proxies as factors in linear asset pricing models: Still living with the roll critique

    Article • Journal of Empirical Finance, March 2015, Elsevier

    Professor Todd Prono

  2. THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINEAR TRIANGULAR SYSTEMS, WITH APPLICATIONS TO ASSET PRICING MODELS THAT INCLUDE A MISMEASURED FACTOR

    Article • Journal of Applied Econometrics, June 2013, Wiley

    Professor Todd Prono

  3. Reconsidering Moments-Based Estimators for ARCH Processes

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Todd Prono

  4. GARCH-Based Identification and Estimation of Triangular Systems

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Todd Prono