Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

DOI10.1016/J.JECONOM.2023.04.008MaRDI QIDQ6133353zbMATH OpenOpenAlexFDO

Authors Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf, Olena Melin

Publication date 18 August 2023

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2023.04.008

zbMATH Keywords

spanningasset pricingidentification-robust inferencemimicking portfoliosbenchmark neutralitymissing factors

Mathematics Subject Classification ID

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

Cites work

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