Assessing misspecified asset pricing models with empirical likelihood estimators
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Publication:528066
DOI10.1016/J.JECONOM.2012.05.020zbMath1443.62419OpenAlexW3125469545MaRDI QIDQ528066
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001327
Euler equationsmodel misspecificationstochastic discount factorCressie-Read discrepanciesgeneralized minimum contrast estimators
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)
Related Items (10)
Generalized aggregation of misspecified models: with an application to asset pricing ⋮ Portfolio optimization based on stochastic dominance and empirical likelihood ⋮ Nonparametric Option Pricing with Generalized Entropic Estimators ⋮ Robust estimation with exponentially tilted Hellinger distance ⋮ Semi-parametric estimation of American option prices ⋮ Chi-squared tests for evaluation and comparison of asset pricing models ⋮ Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators ⋮ Robust inference for moment condition models without rational expectations ⋮ Nonparametric assessment of hedge fund performance ⋮ Risk Arbitrage Opportunities for Stock Index Options
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