Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

DOI10.1080/07474938.2016.1165945zbMath1490.62441OpenAlexW2259899961MaRDI QIDQ5862492

Raymond Kan, Nikolay Gospodinov, Cesare Robotti

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/104033/1/WRAP-asymptotic-variance-approximations-asset-pricing-Robotti-2018.pdf

zbMATH Keywords

asset pricingasymptotic approximationmaximum likelihoodmodel misspecificationcontinuously-updated GMMmisspecification-robust tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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