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Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - In: Journal of Empirical Finance 19 (2012) 1, pp. 65-78

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian...

Persistent link: https://www.econbiz.de/10010942991