The APT Model as Reduced-Rank Regression
Bibliographic Data
| ID | 19418486 |
|---|---|
| Authors | Paul Bekker (University of Groningen), Paul A Bekker (University of Groningen), Pascal Dobbelstein (University of Groningen), Tom Wansbeek (0000-0003-1365-3310, University of Groningen) |
| Year | 1996 |
| Volume | 14 |
| Issue | 2 |
| Pages | 199-202 |
| Publication date | 1996-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1996.10524646 |
| OpenAlex | W2142446070 |
| Language | EN |
| References cited | 12 |
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
Arbitrage · Combinatorics · Econometrics · Economics · Estimation · Estimator · Financial economics · Regression · Regression analysis · Simple linear regression · Statistics · Financial Markets and Investment Strategies · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Applied Mathematics
Estimation of a Model with Multiple Indicators and Multiple Causes of a Single Latent Variable
Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates
Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model
| Citation velocity | historical |
|---|---|
| Highly cited | No |