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New entropy restrictions and the quest for better-specified asset-pricing models
Bakshi, Gurdip S.
;
Chabi-Yo, Fousseni
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
6
,
pp. 2517-2541
Persistent link: https://www.econbiz.de/10012165919
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New entropy restrictions and the quest for better specified asset pricing models
Bakshi, Gurdip S.
;
Fousseni, Chabi-Yo
-
2014
variance-covariance matrix of the vector of asset returns. Extending extant treatments, we develop
entropy
codependence
…
Persistent link: https://www.econbiz.de/10010353301
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