Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach
This paper introduces an instrumental variable Bayesian shrinkage approach specifically designed for estimating the capital asset pricing model (CAPM) while utilizing a large number of instruments. Our methodology incorporates horseshoe, Laplace, and factor-based shrinkage priors to construct Bayesi...
| Main Authors: | , |
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| 格式: | 文件 |
| 语言: | English |
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MDPI AG
2023-09-01
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| 丛编: | Mathematics |
| 主题: | |
| 在线阅读: | https://www.mdpi.com/2227-7390/11/17/3776 |