Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance

DOI10.1016/j.jeconom.2023.05.007OpenAlexW4381095222MaRDI QIDQ6090598

Dennis Umlandt

Publication date: 17 November 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.05.007

zbMATH Keywords

return predictabilitytime-varying risk premiageneralized autoregressive score modelsdynamic asset pricing

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Salience Theory of Choice Under Risk
• Filtering With Heavy Tails
• Recovering Investor Expectations from Demand for Index Funds
• Common risk factors in the returns on stocks and bonds