A two-step indirect inference approach to estimate the long-run risk asset pricing model

DOI10.1016/j.jeconom.2018.03.003zbMath1452.62767OpenAlexW3124034486MaRDI QIDQ1754508

Eva-Maria Küchlin, Joachim Grammig

Publication date: 31 May 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hebis:30:3-438582

zbMATH Keywords

asset pricinglong-run riskindirect inference estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (2)

Detecting identification failure in moment condition models ⋮ Empirical asset pricing with multi-period disaster risk: a simulation-based approach

Uses Software

• bootstrap

Cites Work

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