Paul A Bekker
Biographic Data
| ID | 9107556 |
|---|---|
| NAME | Paul A Bekker |
| GIVEN NAMES | Paul A |
| FAMILY NAME | Bekker |
| SIGNATURE | BEKKER P A |
| AFFILIATIONS | University of Groningen |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 3 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1927 |
| LATEST PUBLICATION YEAR | 1996 |
| H-INDEX | 0 |
The APT Model as Reduced-Rank Regression
Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced-rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. We give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general case, and discuss how undersized samples (more assets than time periods) can be dealt with
Wandlungen der Oper
The Story of Music
No prominent works on this page.
The Story of Music
Wandlungen der Oper
The APT Model as Reduced-Rank Regression
Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced-rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. We give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general case, and discuss how undersized samples (more assets than time periods) can be dealt with
Art (2 works) · Musicology and Musical Analysis (2 works) · Applied Mathematics (1 works) · Arbitrage (1 works) · Combinatorics (1 works) · Diverse Musicological Studies (1 works) · Econometrics (1 works) · Economics (1 works) · Estimation (1 works) · Estimator (1 works)