Jagannathan, Ravi; Skoulakis, Georgios; Wang, Zhenyu - In: Journal of Business & Economic Statistics 20 (2002) 4, pp. 470-81
We provide a brief overview of applications of generalized method of moments in finance. The models examined in the empirical finance literature, especially in the asset pricing area, often imply moment conditions that can be used in a straight forward way to estimate the model parameters...