Existence and characterization of conditional density projections

DOI10.1017/S0266466615000158MaRDI QIDQ2826008zbMATH OpenOpenAlexFDO

Authors Ivana Komunjer, Giuseppe Ragusa

Publication date 14 October 2016

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466615000158

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(4)

• Theory-coherent forecasting
• Maximum entropy analysis of consumption-based capital asset pricing model and volatility
• Counterfactual sensitivity and robustness
• Large sample justifications for the Bayesian empirical likelihood

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