Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - In: Journal of Econometrics 167 (2012) 2, pp. 458-472
A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … efficient, i.e., it achieves the semiparametric lower bound. A sampling experiment provides finite sample comparisons with the … parametric approach and the iterative semiparametric approach with parametric initial estimate of Conrad and Mammen (2008). An …