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Ex-post risk premia estimation and asset pricing tests using large cross sections : the regression-calibration approach
Kim, Soohun; Skoulakis, Georgios - In: Journal of econometrics 204 (2018) 2, pp. 159-188
Persistent link: https://www.econbiz.de/10011974727
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Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis - In: Journal of econometrics 237 (2023) 2,3, pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of econometrics 184 (2015) 1, pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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A new approach to model regime switching
Chang, Yoosoon; Choi, Yongok; Park, Joon Y. - In: Journal of econometrics 196 (2017) 1, pp. 127-143
Persistent link: https://www.econbiz.de/10011743787
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
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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
Persistent link: https://www.econbiz.de/10009686763
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Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011594307
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Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 2, pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
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Empirical asset pricing with multi-period disaster risk : a simulation-based approach
Sönksen, Jantje; Grammig, Joachim - In: Journal of econometrics 222 (2021) 1,3, pp. 805-832
Persistent link: https://www.econbiz.de/10012619790
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Factor models with many assets : strong factors, weak factors, and the two-pass procedure
Anatolyev, Stanislav; Mikusheva, Anna - In: Journal of econometrics 229 (2022) 1, pp. 103-126
Persistent link: https://www.econbiz.de/10013441835