Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Year of publication: |
2015
|
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Authors: | Gospodinov, Nikolay ; Kan, Raymond ; Robotti, Cesare |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | asset pricing | model misspecification | continuously updated GMM | maximum likelihood | asymptotic approximation | misspecification-robust tests |
Series: | Working Paper ; 2015-9 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 836308980 [GVK] hdl:10419/130619 [Handle] |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; G12 - Asset Pricing |
Source: |
-
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Gospodinov, Nikolaj, (2015)
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Spurious inference in unidentified asset-pricing models
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Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity
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