Chi-squared tests for evaluation and comparison of asset pricing models
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Publication:528174
DOI10.1016/J.JECONOM.2012.11.002zbMATH Open1443.62451OpenAlexW1511142169MaRDI QIDQ528174FDOQ528174
Cesare Robotti, Raymond Kan, Nikolay Gospodinov
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/70695
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Cited In (7)
- Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
- Misspecified semiparametric model selection with weakly dependent observations
- Asset pricing models, specification search, and stability analysis
- Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
- Generalized aggregation of misspecified models: with an application to asset pricing
- Two-step combined nonparametric likelihood estimation of misspecified semiparametric models
- Filtering Returns for Unspecified Biases in Priors when Testing Asset Pricing Theory
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