Showing 1 - 2 of 2
This paper proposes a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on a composite model that integrates over candidate models using posterior probabilities as weights. While the integrated model is weighted against deviations from...
Persistent link: https://www.econbiz.de/10013212501
Persistent link: https://www.econbiz.de/10014312047