Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
DOI10.1016/J.JECONOM.2023.04.008OpenAlexW4381059945MaRDI QIDQ6133353FDOQ6133353
Marie-Claude Beaulieu, Olena Melin, Lynda Khalaf, Jean-Marie Dufour
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
spanningasset pricingidentification-robust inferencemimicking portfoliosbenchmark neutralitymissing factors
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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