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- Tue Jul 20, 2010 1:13 pm
- Forum: Estimation
- Topic: GMM estimation for International / world CAPM
- Replies: 0
- Views: 1692
GMM estimation for International / world CAPM
Hi, I am trying to rebuild Dumas/Solnik 1995 The World Price of Foreign Exchange Risk. I understand the mathematics and how to do a GMM estimation in Eviews, how to write a system etc., however I don't get the inputs right. In the attached picture the delta and theta estimates are to be estimated by...