Approximating the Asset Pricing Kernel.

This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel directly using orthonormal polynominals.

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Year of publication:	1996
Authors:	Chapman, D.A.
Institutions:	William E. Simon Graduate School of Business Administration, University of Rochester
Subject:	CAPITAL MARKET \| ASSETS \| PRICING

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Series:	Rochester, Business - Financial Research and Policy Studies.
Type of publication:	Book / Working Paper
Notes:	41 pages
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005646719