Connections between entropic and linear projections in asset pricing estimation
DOI10.1016/S0304-4076(01)00118-XzbMATH Open1030.62003OpenAlexW3123899259MaRDI QIDQ1858932FDOQ1858932
Yuichi Kitamura, Michael J. Stutzer
Publication date: 17 February 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00118-x
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Cited In (15)
- Misspecified semiparametric model selection with weakly dependent observations
- Relative Entropy Criterion and CAPM-Like Pricing
- Brexit and foreign exchange market expectations: could it have been predicted?
- Asymptotic equivalence of empirical likelihood and Bayesian MAP
- Generalized Safety First and a New Twist on Portfolio Performance
- Option pricing and Esscher transform under regime switching
- Maximum entropy estimation for survey sampling
- Generalized aggregation of misspecified models: with an application to asset pricing
- Information Theoretic and Entropy Methods: An Overview
- Large-Deviations Theory and Empirical Estimator Choice
- Portfolio choice with endogenous utility: a large deviations approach.
- Point estimation with exponentially tilted empirical likelihood
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Optimal comparison of misspecified moment restriction models under a chosen measure of fit
- Semi-parametric estimation of American option prices
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