Chi-squared tests for evaluation and comparison of asset pricing models
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Publication:528174
DOI10.1016/j.jeconom.2012.11.002zbMath1443.62451OpenAlexW1511142169MaRDI QIDQ528174
Cesare Robotti, Nikolay Gospodinov, Raymond Kan
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/70695
Related Items (5)
Generalized aggregation of misspecified models: with an application to asset pricing ⋮ Misspecified semiparametric model selection with weakly dependent observations ⋮ Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach ⋮ Two-step combined nonparametric likelihood estimation of misspecified semiparametric models ⋮ Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Uses Software
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