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)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Effects of collinearity on information about regression coefficients
• Large deviations for a general class of random vectors
• Maximum entropy measurement error estimates of singular covariance matrices in undersized samples
• Why least squares and maximum entropy? An axiomatic approach to inference for linear inverse problems
• I-divergence geometry of probability distributions and minimization problems
• Large deviation rate calculations for nonlinear detectors in Gaussian noise
• Approximation–Theoretic Derivation of Logarithmic Entropy Principles for Inverse Problems and Unique Extension of the Maximum Entropy Method to Incorporate Prior Knowledge
• Axiomatic derivation of the principle of maximum entropy and the principle of minimum cross-entropy
• Asset Prices in an Exchange Economy
• Measuring efficiency of dynamic input-output systems
• A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
• A compendium to information theory in economics and econometrics
• Asset Pricing in Economies with Frictions
• Maximum Likelihood Estimation of Misspecified Models

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

This page was built for publication: A Bayesian approach to diagnosis of asset pricing models