Similar Search Results

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Almeida, Caio - 2010

We develop a new approach to evaluate asset pricing models (APMs) based on Minimum Discrepancy (MD) projections that generalize the Hansen-Jagannathan (HJ, 1997) distance to account for an arbitrary number of moments of asset returns. The Minimum Discrepancy projections correct APMs to become...

Persistent link: https://www.econbiz.de/10013147434

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

Economic implications of nonlinear pricing kernels

Almeida, Caio; Garcia, René - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3361-3380

Persistent link: https://www.econbiz.de/10011760496

Modèles d'évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel

Garcia, René - In: L' Actualité économique : revue trimest. 74 (1998) 3, pp. 467-484

Persistent link: https://www.econbiz.de/10001338886

Pricing and modeling credit derivatives

Akat, Muzaffer; Almeida, Caio; Papanicolaou, George - In: Brazilian review of econometrics : the review of the … 27 (2007) 1, pp. 107-129

Persistent link: https://www.econbiz.de/10003591179

Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters

Faria, Adriano; Ornelas, Rafael; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 43-62

Persistent link: https://www.econbiz.de/10011538973

Idiosyncratic moments and the cross-section of stock returns in Brazil

Ricca, Bernardo; Almeida, Caio; Tessari, Cristina - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 255-286

Persistent link: https://www.econbiz.de/10011644511

Long-term yields implied by stochastic discount factor decompositions

Cordeiro, Fernando; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 113-144

Persistent link: https://www.econbiz.de/10012210606

Measuring long run risks for Brazil

Brandão, Diego; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 145-183

Persistent link: https://www.econbiz.de/10012210621

Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries

Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355

Persistent link: https://www.econbiz.de/10012129516