Linear Approximations and Tests of Conditional Pricing Models*

DOI10.1093/ROF/RFY003zbMath1425.91440OpenAlexW2890292853MaRDI QIDQ5237869

David A. Chapman, Michael W. Brandt

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

testingconditional asset pricing modelnonlinear risk premiums

Mathematics Subject Classification ID

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

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