Asset Pricing with Disequilibrium Price Adjustment: Theory and Empirical Evidence

DOI10.1142/9789811202391_0099zbMath1451.91208OpenAlexW4253038851MaRDI QIDQ5139537

Alice C. Lee, Cheng-Few Lee, Chiung-Min Tsai

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0099

zbMATH Keywords

maximum likelihood estimatordemand functionsupply functiondisequilibrium modeltwo-stage least squares (2SLS) estimatordisequilibrium effectmultiperiod dynamic CAPM

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

This page was built for publication: Asset Pricing with Disequilibrium Price Adjustment: Theory and Empirical Evidence