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Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators · Study

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PreprintAssessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Caio Ibsen Rodrigues De Almeida2009

OA

Preprintgreen2009

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Caio Ibsen Rodrigues De Almeida · René García

26 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1993Common risk factors in the returns on stocks and bonds 1985The equity premium: A puzzle 1978Asset Prices in an Exchange Economy 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1979Martingales and arbitrage in multiperiod securities markets 2000Conditional Skewness in Asset Pricing Tests 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1996The Conditional CAPM and the Cross-Section of Expected Returns

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2012Assessing misspecified asset pricing models with empirical likelihood estimatorsarticle · 22 shared references 2016Economic Implications of Nonlinear Pricing Kernelsarticle · 11 shared references 2007Chapter 61 Intertemporal Substitution and Risk Aversionchapter · 10 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 10 shared references 2003Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performancechapter · 10 shared references 2014Nobel Lecture: Uncertainty Outside and Inside Economic Modelsarticle · 9 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1343422

openalex_workW2007138186

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