Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach (Q528047)
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scientific article; zbMATH DE number 6714760
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| English | Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach |
scientific article; zbMATH DE number 6714760 |
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Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach (English)
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12 May 2017
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asset pricing
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continuously updated GMM
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generalised empirical likelihood
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generalised inverse
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representing portfolios
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singular covariance matrix
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0.8185809850692749
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0.7716472744941711
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0.7555223703384399
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0.7428005933761597
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0.7158087491989136
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