Assessing misspecified asset pricing models with empirical likelihood estimators
DOI10.1016/J.JECONOM.2012.05.020zbMATH Open1443.62419OpenAlexW3125469545MaRDI QIDQ528066FDOQ528066
Authors: Caio Almeida, René Garcia 
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001327
Recommendations
- Chi-squared tests for evaluation and comparison of asset pricing models
- Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- On the estimation of asset pricing models using univariate betas
- Pricing kernel estimation: a local estimating equation approach
model misspecificationEuler equationsstochastic discount factorCressie-Read discrepanciesgeneralized minimum contrast estimators
Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Title not available (Why is that?)
- Empirical likelihood ratio confidence intervals for a single functional
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Information Theoretic Approaches to Inference in Moment Condition Models
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- Common risk factors in the returns on stocks and bonds
- Martingales and arbitrage in multiperiod securities markets
- Why least squares and maximum entropy? An axiomatic approach to inference for linear inverse problems
- Title not available (Why is that?)
- Title not available (Why is that?)
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- I-divergence geometry of probability distributions and minimization problems
- Title not available (Why is that?)
- A Bayesian approach to diagnosis of asset pricing models
- Asset Prices in an Exchange Economy
- Efficient information theoretic inference for conditional moment restrictions
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Implied Probabilities in GMM Estimators
- Duality Relationships for Entropy-Like Minimization Problems
- Miscellanea. Bartlett adjustment of empirical discrepancy statistics
- Generalized empirical likelihood-based model selection criteria for moment condition models
- Empirical likelihood methods in econometrics: theory and practice
- Generalized empirical likelihood non-nested tests
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Efficient Semiparametric Estimation of Expectations
- Equilibrium without uniform conditions
- Connections between entropic and linear projections in asset pricing estimation
Cited In (14)
- Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
- Robust estimation with exponentially tilted Hellinger distance
- Spurious inference in reduced-rank asset-pricing models
- Robust inference for moment condition models without rational expectations
- Capital asset pricing models revisited: evidence from errors in variables
- Generalized aggregation of misspecified models: with an application to asset pricing
- Nonparametric Option Pricing with Generalized Entropic Estimators
- Portfolio optimization based on stochastic dominance and empirical likelihood
- Risk arbitrage opportunities for stock index options
- Asset Pricing Specification Errors and Performance Evaluation
- Nonparametric assessment of hedge fund performance
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- Chi-squared tests for evaluation and comparison of asset pricing models
- Semi-parametric estimation of American option prices
This page was built for publication: Assessing misspecified asset pricing models with empirical likelihood estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528066)
