Evaluating a nonlinear asset pricing model on international data
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- Asgharian, Hossein & Karlsson, Sonnie, 2008. "Evaluating a non-linear asset pricing model on international data," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 604-621, June.
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Citations
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Cited by:
- Erdos, Péter & Ormos, Mihály & Zibriczky, Dávid, 2011.
"Non-parametric and semi-parametric asset pricing,"
Economic Modelling, Elsevier, vol. 28(3), pages 1150-1162, May.
- Peter Erdos & Mihaly Ormos & David Zibriczky, 2017. "Non-parametric and semi-parametric asset pricing," Papers 1703.09500, arXiv.org.
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More about this item
Keywords
nonlinear asset pricing; international markets; Hansen and Jagannathan distance; value effect;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-03-11 (Finance)
- NEP-RMG-2006-03-11 (Risk Management)
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