Assessing misspecified asset pricing models with empirical likelihood estimators
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Cites work
- scientific article; zbMATH DE number 3911472 (Why is no real title available?)
- scientific article; zbMATH DE number 41105 (Why is no real title available?)
- scientific article; zbMATH DE number 46153 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- A Bayesian approach to diagnosis of asset pricing models
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asset Prices in an Exchange Economy
- Common risk factors in the returns on stocks and bonds
- Connections between entropic and linear projections in asset pricing estimation
- Duality Relationships for Entropy-Like Minimization Problems
- Efficient Semiparametric Estimation of Expectations
- Efficient information theoretic inference for conditional moment restrictions
- Empirical likelihood methods in econometrics: theory and practice
- Empirical likelihood ratio confidence intervals for a single functional
- Equilibrium without uniform conditions
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Generalized empirical likelihood non-nested tests
- Generalized empirical likelihood-based model selection criteria for moment condition models
- Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
- I-divergence geometry of probability distributions and minimization problems
- Implied Probabilities in GMM Estimators
- Information Theoretic Approaches to Inference in Moment Condition Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Martingales and arbitrage in multiperiod securities markets
- Miscellanea. Bartlett adjustment of empirical discrepancy statistics
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
- Why least squares and maximum entropy? An axiomatic approach to inference for linear inverse problems
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
- Capital asset pricing models revisited: evidence from errors in variables
- Robust inference for moment condition models without rational expectations
- 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
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