Semiparametric estimation of latent variable asset pricing models

DOI10.1016/J.JECONOM.2023.03.010OpenAlexW4381059781MaRDI QIDQ6133354FDOQ6133354

Authors: Jeroen Dalderop 

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.2023.03.010

zbMATH Keywords

semiparametric estimationlatent variablesvolatilityrisk aversionasset prices

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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Cited In (5)

• CONDITIONAL DENSITY MODELS FOR ASSET PRICING
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Semiparametric identification of the bid-ask spread in extended Roll models
• A latent process model for the pricing of corporate securities
• A semiparametric graphical modelling approach for large-scale equity selection

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