Generalized aggregation of misspecified models: with an application to asset pricing (Q2658796): Difference between revisions

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+Assessing misspecified asset pricing models with empirical likelihood estimators
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+Q4293547
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+Model selection via testing: an alternative to (penalized) maximum likelihood estimators.
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+Model selection for density estimation with \(\mathbb L_2\)-loss
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+PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH
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+Model Selection and Model Averaging
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+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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+Common risk factors in the returns on stocks and bonds
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+Aggregating opinions through logarithmic pooling
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+Optimal prediction pools
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+Chi-squared tests for evaluation and comparison of asset pricing models
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+Spurious Inference in Reduced-Rank Asset-Pricing Models
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+Pseudo Maximum Likelihood Methods: Theory
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+A Dependence Metric for Possibly Nonlinear Processes
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+The large sample behaviour of the generalized method of moments estimator in misspecified models
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+Least Squares Model Averaging
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+Jackknife model averaging
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+Robustness
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+Robustness, Infinitesimal Neighborhoods, and Moment Restrictions
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+Connections between entropic and linear projections in asset pricing estimation
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+Optimal Weight Choice for Frequentist Model Average Estimators
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+Kullback-Leibler aggregation and misspecified generalized linear models
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+Sparse estimation by exponential weighting
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+A Bayesian approach to diagnosis of asset pricing models
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+COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
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+Model averaging based on Kullback-Leibler distance
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