Generalized aggregation of misspecified models: With an application to asset pricing
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DOI: 10.1016/j.jeconom.2020.07.010
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More about this item
Keywords
Entropy; Model aggregation; Asset pricing; Misspecified models; Oracle bounds; Hellinger distance;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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