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ArticleChi-squared tests for evaluation and comparison of asset pricing models

Nikolay Gospodinov2012

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Articlegreen2012

Chi-squared tests for evaluation and comparison of asset pricing models

Nikolay Gospodinov · Raymond Kan · Cesare Robotti

62 citations·0/0 files stored·Journal of Econometrics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Economic theories and models

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References

1993Common risk factors in the returns on stocks and bonds 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1996The Conditional CAPM and the Cross-Section of Expected Returns 1990Asset Prices under Habit Formation and Catching up with the Joneses 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying 2005A Test for Superior Predictive Ability 1997Assessing Specification Errors in Stochastic Discount Factor Models 2006A Consumption‐Based Explanation of Expected Stock Returns

Cited by

2024Test Assets and Weak Factors 2018Best of the Best: A Comparison of Factor Models 2014Comparing consumption-based asset pricing models: The case of an Asian city 2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach 2020Common pricing across asset classes: Empirical evidence revisited 2017

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Details

Year2012

Typearticle

Published2012-11-30

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations62

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jeconom.2012.11.002

openalex_workW1511142169

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Taming the Factor Zoo: A Test of New Factors

2017Inference on Risk Premia in the Presence of Omitted Factors