Chi-squared tests for evaluation and comparison of asset pricing models
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Cites work
- scientific article; zbMATH DE number 3988509 (Why is no real title available?)
- A Fortran subroutine for computing normal orthant probabilities of dimensions up to nine
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- Generalized method of moments specification testing
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- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Model selection tests for nonlinear dynamic models
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- Reduction of the multivariate normal integral to characteristic form
- Selecting the best linear regression model. A classical approach
- Testing inequality constraints in linear econometric models
Cited in
(15)- Macro-finance decoupling: robust evaluations of macro asset pricing models
- Application of the multivariate average \(F\)-test to examine relative performance of asset pricing models with individual security returns
- A new test on the conditional capital asset pricing model
- Selected approaches for testing asset pricing models using Polish stock market data
- Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
- Generalized aggregation of misspecified models: with an application to asset pricing
- Tests of risk premia in linear factor models
- Spurious inference in reduced-rank asset-pricing models
- Two-step combined nonparametric likelihood estimation of misspecified semiparametric models
- Assessing misspecified asset pricing models with empirical likelihood estimators
- Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
- Finite sample multivariate tests of asset pricing models with coskewness
- Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
- Asset pricing models, specification search, and stability analysis
- Misspecified semiparametric model selection with weakly dependent observations
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