Estimating asset pricing models with frictions

DOI10.1016/J.ECONLET.2017.02.016zbMath1396.91216OpenAlexW2588861050MaRDI QIDQ1783453

Alberto Teguia, Kevin Crotty

Publication date: 21 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.02.016

zbMATH Keywords

moment inequalitiesrisk aversiontransactions costsconsumption-based asset pricing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Inference for Parameters Defined by Moment Inequalities: A Recommended Moment Selection Procedure
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Asset Pricing in Economies with Frictions

This page was built for publication: Estimating asset pricing models with frictions