Asymmetric loss functions and the rationality of expected stock returns

Author:

Aretz Kevin,Bartram Söhnke M.,Pope Peter F.

Publisher

Elsevier BV

Subject

Business and International Management

Reference44 articles.

1. A noisy rational expectations equilibrium for multi-asset securities markets;Admati;Econometrica,1986

2. Amromin, G., & Sharpe, S. (2006). From the horse’s mouth: Gauging conditional expected stock returns from investor surveys. Federal Reserve Board of Governors working paper

3. Anatolyev, S. (2002). Bootstrap inference in multi-period prediction problems: A simulation study. New Economic School of Moscow working paper

4. Generalized method of moments estimation when a parameter is on a boundary;Andrews;Journal of Business and Economic Statistics,2002

5. Bergström, P., Dahlberg, M., & Johansson, E. (1997). GMM bootstrapping and testing in dynamic panels. Uppsala University working paper

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