Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance (Q6090598)
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scientific article; zbMATH DE number 7767740
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| English | Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance |
scientific article; zbMATH DE number 7767740 |
Statements
Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance (English)
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17 November 2023
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dynamic asset pricing
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generalized autoregressive score models
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time-varying risk premia
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return predictability
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0.8520613
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0.8487176
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0.84501606
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0.8337471
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0.83323336
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0.8290804
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0.8289071
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0.82525265
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0.8244004
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0.82394093
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