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  • Search: subject:"Cressie–Read discrepancies"
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Subject
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Cressie-Read discrepancies 1 Cressie–Read discrepancies 1 Entropie 1 Entropy 1 Estimation 1 Estimation theory 1 Euler equations 1 Generalized entropy 1 Generalized minimum contrast estimators 1 Model misspecification 1 Nichtparametrische Schätzung 1 Nichtparametrisches Verfahren 1 Nonparametric estimation 1 Nonparametric statistics 1 Option pricing 1 Option pricing theory 1 Optionspreistheorie 1 Risk-neutral measure 1 Schätztheorie 1 Schätzung 1 Stochastic discount factor 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Almeida, Caio 2 Ardison, Kym 1 Azevedo, Rafael 1 Freire, Gustavo 1 Garcia, René 1
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Journal of Econometrics 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Nonparametric option pricing with generalized entropic estimators
Almeida, Caio; Freire, Gustavo; Azevedo, Rafael; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1173-1187
Persistent link: https://www.econbiz.de/10014448595
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Assessing misspecified asset pricing models with empirical likelihood estimators
Almeida, Caio; Garcia, René - In: Journal of Econometrics 170 (2012) 2, pp. 519-537
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family...
Persistent link: https://www.econbiz.de/10010594965
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