the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done …

the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done …

learning and no conditioning information, I extract time-varying factor loadings, pricing errors, and a measure of pricing …

lower pricing errors than OLS, while SDF/GMM second-stage estimators display higher pricing errors than the classical Beta …

inversion. It is found that the implied volatility is subject to a systematic bias in the presence of pricing errors, which … removes the adverse impacts of the pricing errors and produces a consistent volatility estimator for a wide range of option …

the model dominates the time-separable power utility model in terms of pricing errors. Further, for the majority of …

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset pricing models: the maximum … time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis … shows that the reduction is much smaller based on the second measure. Those time-varying models have pricing errors on the …