Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance (Q6090598)
From MaRDI portal
scientific article; zbMATH DE number 7767740
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance |
scientific article; zbMATH DE number 7767740 |
Statements
Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance (English)
0 references
17 November 2023
0 references
dynamic asset pricing
0 references
generalized autoregressive score models
0 references
time-varying risk premia
0 references
return predictability
0 references
