Nonparametric Specification Testing of Conditional Asset Pricing Models
Author:
Affiliation:
1. Queens College CUNY, Flushing, NY;
2. Department of Economics, University of Cantabria, Santander, Spain;
3. University of Geneva, GSEM, Geneva, Switzerland
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1933500
Reference46 articles.
1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
2. A Conditional Kolmogorov Test
3. Pseudo-True SDFs in Conditional Asset Pricing Models*
4. No Arbitrage and Arbitrage Pricing: A New Approach
5. Basic Properties of Strong Mixing Conditions
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1. Testing Asset Pricing Models in the Presence of Errors-in-Variables;2023
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