Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10005192229
A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and GARCH-type underlying volatility is introduced. Based on the profile likelihood approach, it does not rely on any initial parametric estimator of the conditional mean function,...
Persistent link: https://www.econbiz.de/10010574076