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Estimation and Evaluation of Conditional Asset Pricing Models
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Cited by:
- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2013.
"Chi-squared tests for evaluation and comparison of asset pricing models,"
Journal of Econometrics, Elsevier, vol. 173(1), pages 108-125.
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2011. "Chi-squared tests for evaluation and comparison of asset pricing models," FRB Atlanta Working Paper 2011-08, Federal Reserve Bank of Atlanta.
- Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
- Stefan Nagel, 2013.
"Empirical Cross-Sectional Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
- Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
- Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
- Peñaranda, Francisco & Sentana, Enrique, 2016.
"Duality in mean-variance frontiers with conditioning information,"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
- Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015.
"Regression-based estimation of dynamic asset pricing models,"
Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
- Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
- Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012.
"Underidentification?,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
- Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Patrick Gagliardini & Diego Ronchetti, 2020. "Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 333-394.
- Kim, Soohun & Skoulakis, Georgios, 2018. "Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach," Journal of Econometrics, Elsevier, vol. 204(2), pages 159-188.
- Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023.
"Empirical evaluation of overspecified asset pricing models,"
Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
- Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2017_1711, CEMFI.
- Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
- Peter Diep & Andrea L. Eisfeldt & Scott Richardson, 2021. "The Cross Section of MBS Returns," Journal of Finance, American Finance Association, vol. 76(5), pages 2093-2151, October.
- Raymond Kan & Cesare Robotti, 0. "Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 729-735.
- Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2020.
"Characteristic-Sorted Portfolios: Estimation and Inference,"
The Review of Economics and Statistics, MIT Press, vol. 102(3), pages 531-551, July.
- Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2016. "Characteristic-Sorted Portfolios: Estimation and Inference," Staff Reports 788, Federal Reserve Bank of New York.
- Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2018. "Characteristic-Sorted Portfolios: Estimation and Inference," Papers 1809.03584, arXiv.org, revised Oct 2019.
- Mikhail Chernov & Lars A Lochstoer & Stig R H Lundeby, 2022.
"Conditional Dynamics and the Multihorizon Risk-Return Trade-Off,"
The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1310-1347.
- Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Lochstoer, Lars & Lundeby, Stig, 2018. "Conditional dynamics and the multi-horizon risk-return trade-off," CEPR Discussion Papers 13365, C.E.P.R. Discussion Papers.
- Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
- van Dijk, M.A., 2014. "The Social Value of Finance," ERIM Inaugural Address Series Research in Management EIA-2014-055-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
- Schneider, Paul, 2015.
"Generalized risk premia,"
Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
- Paul SCHNEIDER, 2014. "Generalized Risk Premia," Swiss Finance Institute Research Paper Series 14-29, Swiss Finance Institute.
- Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
- Qihui Chen, 2022. "A Unified Framework for Estimation of High-dimensional Conditional Factor Models," Papers 2209.00391, arXiv.org.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- Roussanov, Nikolai, 2014.
"Composition of wealth, conditioning information, and the cross-section of stock returns,"
Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
- Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
- Liyuan Cui & Guanhao Feng & Yongmiao Hong, 2024. "Regularized Gmm For Time‐Varying Models With Applications To Asset Pricing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(2), pages 851-883, May.
- Paul Schneider & Christian Wagner & Josef Zechner, 2020.
"Low‐Risk Anomalies?,"
Journal of Finance, American Finance Association, vol. 75(5), pages 2673-2718, October.
- Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).
- Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
- Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
- Li, Yan & Yang, Liyan, 2011. "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 972-992.
- Galvani, Valentina & Gubellini, Stefano, 2013. "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, vol. 10(3), pages 142-150.
- Tim Bollerslev & Viktor Todorov, 2011.
"Estimation of Jump Tails,"
Econometrica, Econometric Society, vol. 79(6), pages 1727-1783, November.
- Tim Bollerslev & Viktor Todorov, 2010. "Estimation of Jump Tails," Working Papers 10-37, Duke University, Department of Economics.
- Tim Bollerslev & Viktor Todorov, 2010. "Estimation of Jump Tails," CREATES Research Papers 2010-16, Department of Economics and Business Economics, Aarhus University.
- Yan Li & Liangjun Su & Yuewu Xu, 2015.
"A Combined Approach to the Inference of Conditional Factor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
- Yan Li & Liangjun Su & Yuewu Xu, 2014. "A Combined Approach to the Inference of Conditional Factor Models," Working Papers 10-2014, Singapore Management University, School of Economics.
- Fletcher, Jonathan, 2014. "Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 30-46.
- Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh & Stijn Van Nieuwerburgh, 2020.
"Factor Timing,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 1980-2018.
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2020. "Factor Timing," NBER Working Papers 26708, National Bureau of Economic Research, Inc.
- Klein, Rudolf F. & Chow, Victor K., 2013. "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 175-187.
- Yukun Liu & Ben Matthies, 2022. "Long‐Run Risk: Is It There?," Journal of Finance, American Finance Association, vol. 77(3), pages 1587-1633, June.
- Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
- Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
- Aono, Kohei & Iwaisako, Tokuo, 2013. "The consumption–wealth ratio, real estate wealth, and the Japanese stock market," Japan and the World Economy, Elsevier, vol. 25, pages 39-51.
- Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
- Valdes, Rodrigo, 2017. "What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258265, Agricultural and Applied Economics Association.