Semiparametric estimation of latent variable asset pricing models
From MaRDI portal
Publication:6133354
Cites work
- Title not available (Why is no real title available?)
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- A practical guide to compact infinite dimensional parameter spaces
- A tale of two option markets: pricing kernels and volatility risk
- AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- An estimation of economic models with recursive preferences
- Approximation by polynomials and smooth functions in Sobolev spaces with respect to measures
- Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
- Estimating Macroeconomic Models: A Likelihood Approach
- Finite Mixture Distributions, Sequential Likelihood and the EM Algorithm
- Identification and estimation of polynomial errors-in-variables models
- Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
- Identifying long-run risks: a Bayesian mixed-frequency approach
- Instrumental Variable Estimation of Nonparametric Models
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Local identification of nonparametric and semiparametric models
- Long-Term Risk: An Operator Approach
- Maximum Likelihood Estimation of Misspecified Models
- Modeling and Forecasting Realized Volatility
- Nonparametric identification of dynamic models with unobserved state variables
- Nonparametric identification of positive eigenfunctions
- Nonparametric identification using instrumental variables: sufficient conditions for completeness
- Nonparametric stochastic discount factor decomposition
- Parametric Inference and Dynamic State Recovery From Option Panels
- Rational Pessimism, Rational Exuberance, and Asset Pricing Models
- Semi-Nonparametric Maximum Likelihood Estimation
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- The Impact of Uncertainty Shocks
- Unified inference for nonlinear factor models from panels with fixed and large time span
- Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance
Cited in
(5)- CONDITIONAL DENSITY MODELS FOR ASSET PRICING
- Semiparametric identification of the bid-ask spread in extended Roll models
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- A latent process model for the pricing of corporate securities
- A semiparametric graphical modelling approach for large-scale equity selection
This page was built for publication: Semiparametric estimation of latent variable asset pricing models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6133354)
