Estimating dynamic asset pricing models

Estimation of dynamic asset pricing models based on Generalized Method of moments is known to be inefficient and biased. One strand of the literature has provided more efficient estimators based on moment conditions. Here, we present an estimation method based on the numerical solution of the model with low computational costs. Simulations demonstrate its unbiasedness and efficiency.

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Year of publication:	2005-07-01
Authors:	Woehrmann, Peter
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Bewertung \| Dynamisches Modell \| Erwartungstheorie \| Verzerrung

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Extent:	189440 bytes 6 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 244 (2005)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858773