Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
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Publication:6090598
DOI10.1016/j.jeconom.2023.05.007OpenAlexW4381095222MaRDI QIDQ6090598
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
return predictabilitytime-varying risk premiageneralized autoregressive score modelsdynamic asset pricing
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
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- Common risk factors in the returns on stocks and bonds