20th and Constitution Ave NW
Washington, DC 20551
Federal Reserve Board
GARCH, GMM, closed-form, many moments, skewness
Asset pricing, CAPM, conditional CAPM, ICAPM, measurement error, momentum, time-series testing, value
event studies, intra-day returns, systematic risk
Measurement error, triangular models, factor models, beta estimation, identification, heteroskedasticity, GMM
Triangular models, heteroskedasticity, identification.
ARCH, closed form estimation, heavy tails, instrumental variables, regular variation, three-step estimation
ARCH, Closed form estimation, Heavy tails, Instrumental variables, Regular variation, Three-step estimation
GARCH Models, Closed Form Estimation, Heavy Tails, Instrumental Variables, Regular Variation
GARCH models, closed form estimation, heavy tails, instrumental variables, regular variation
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