A Bayesian approach to diagnosis of asset pricing models

DOI10.1016/0304-4076(94)01656-KzbMath0825.62958MaRDI QIDQ1899238

Michael J. Stutzer

Publication date: 7 December 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (12)

Optimal statistical decisions about some alternative financial models ⋮ Econometric specification of stochastic discount factor models ⋮ Calibrating volatility surfaces via relative-entropy minimization ⋮ THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS ⋮ Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis ⋮ Robust identification of investor beliefs ⋮ Generalized aggregation of misspecified models: with an application to asset pricing ⋮ Misspecified semiparametric model selection with weakly dependent observations ⋮ Tuning parameter-free nonparametric density estimation from tabulated summary data ⋮ Assessing misspecified asset pricing models with empirical likelihood estimators ⋮ Ordering univariate distributions by entropy and variance ⋮ Connections between entropic and linear projections in asset pricing estimation

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