کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096213 | 1478578 | 2012 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Assessing misspecified asset pricing models with empirical likelihood estimators
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family of convex functions that take into account higher moments of asset returns. The Minimum Discrepancy problems are solved on dual spaces producing a family of estimators that captures the least-square problem as a particular case. We derive the asymptotic distributions of the estimators for the Cressie-Read family of discrepancies, and illustrate their use with an assessment of the Consumption Asset Pricing Model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 519-537
Journal: Journal of Econometrics - Volume 170, Issue 2, October 2012, Pages 519-537
نویسندگان
Caio Almeida, René Garcia,