Linear approximations and tests of conditional pricing models

DOI10.1093/ROF/RFY003MaRDI QIDQ5237869zbMATH OpenOpenAlexFDO

Authors Michael W. Brandt, David A. Chapman

Publication date 25 October 2019

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w12513.pdf

zbMATH Keywords

conditional asset pricing modelnonlinear risk premiumstesting

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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Cited in

(6)

• Nonlinearity and Endogeneity in Macro-Asset Pricing
• scientific article; zbMATH DE number 5287151 (Why is no real title available?)
• Function Evaluation Via Linear Programming in the Priced Information Model
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• ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE
• Pricing errors and estimates of risk premia in factor models

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