The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
From MaRDI portal
Publication:4721034
DOI10.2307/1913601zbMath0613.90004OpenAlexW2162976621MaRDI QIDQ4721034
Lars Peter Hansen, Scott F. Richard
Publication date: 1987
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/ae12310db1802367f6aae005e7f81ee74661e60f
Hilbert spacesmean-varianceconditioning informationtestable implications of equilibrium asset pricing models
Related Items
Econometric specification of stochastic discount factor models ⋮ Orthogonal decompositions in Hilbert \(A\)-modules ⋮ The financial market: not as big as you think ⋮ Matching the moments: a test of three representative agent models ⋮ Hilbert \(A\)-modules ⋮ Portfolio performance sensitivity for various asset-pricing kernels ⋮ Portfolio performance of linear SDF models: an out-of-sample assessment ⋮ Robust identification of investor beliefs ⋮ The perfect marriage and much more: combining dimension reduction, distance measures and covariance ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ Multivariate Wold decompositions: a Hilbert \(A\)-module approach ⋮ Simplified mean-variance portfolio optimisation ⋮ Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds ⋮ Realized regression with asynchronous and noisy high frequency and high dimensional data ⋮ The study on systemic risk of rural finance based on macro–micro big data and machine learning ⋮ A new test on the conditional capital asset pricing model ⋮ A model of the euro-area yield curve with discrete policy rates ⋮ Coupled projects, core imputations, and the CAPM ⋮ Factor representing portfolios in large asset markets ⋮ Measures and integrals in conditional set theory ⋮ Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution ⋮ An evolutionary CAPM under heterogeneous beliefs ⋮ Esscher transforms and consumption-based models ⋮ Testing the capital asset pricing model with local maximum likelihood methods ⋮ A geometric approach to multiperiod mean variance optimization of assets and liabilities ⋮ The valuation problem in arbitrage price theory ⋮ Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach ⋮ Semi-parametric estimation of American option prices ⋮ Unnamed Item ⋮ Stability of equilibrium asset pricing models: a necessary and sufficient condition ⋮ Weak time-derivatives and no-arbitrage pricing ⋮ Dynamic asset allocation with mean variance preferences and a solvency constraint ⋮ Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations ⋮ Conditional \(L_{p}\)-spaces and the duality of modules over \(f\)-algebras ⋮ A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS ⋮ The econometrics of mean‐variance efficiency tests: a survey ⋮ L0-convex compactness and its applications to random convex optimization and random variational inequalities ⋮ Financial econometrics: Past developments and future challenges ⋮ Financial returns and efficiency as seen by an artificial technical analyst ⋮ Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series ⋮ Distribution-free estimation of some nonlinear panel data models ⋮ Robust estimation and control under commitment ⋮ Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle ⋮ Prices as factors: approximate aggregation with incomplete markets.
