Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach

DOI10.1016/j.jeconom.2012.05.007zbMath1443.62498OpenAlexW3123884163MaRDI QIDQ528047

Francisco Peñaranda, Enrique Sentana

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001194

zbMATH Keywords

asset pricingsingular covariance matrixcontinuously updated GMMgeneralised empirical likelihoodgeneralised inverserepresenting portfolios

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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