Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance

DOI10.1016/J.JECONOM.2023.05.007MaRDI QIDQ6090598zbMATH OpenOpenAlexFDO

Authors Dennis Umlandt

Publication date 17 November 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2023.05.007

zbMATH Keywords

dynamic asset pricinggeneralized autoregressive score modelsreturn predictabilitytime-varying risk premia

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• Common risk factors in the returns on stocks and bonds
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Filtering With Heavy Tails
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• Maximum likelihood estimation for score-driven models
• Quantitative risk management. Concepts, techniques and tools
• Recovering investor expectations from demand for index funds
• Salience theory of choice under risk
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Volatility modeling with a generalized t distribution

Cited in

(3)

• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Out‐of‐sample equity premium prediction: A scenario analysis approach
• Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models

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