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Asymptotic Variance Approximations for Invariant Estimators in Uncertain Asset-Pricing Models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model...

Persistent link: https://www.econbiz.de/10014048909

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2015

Persistent link: https://www.econbiz.de/10011344636

Spurious inference in reduced-rank asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628

Persistent link: https://www.econbiz.de/10011791596

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometric reviews 37 (2018) 6/10, pp. 695-718

Persistent link: https://www.econbiz.de/10012040404

Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root

Gospodinov, Nikolaj - In: Journal of econometrics 146 (2008) 1, pp. 146-161

Persistent link: https://www.econbiz.de/10003778271

A critique of the stochastic discount factor methodology

Kan, Raymond; Zhou, Guofu - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1221-1248

Persistent link: https://www.econbiz.de/10001395748

GMM tests of stochastic doscount factor models with useless factors

Kan, Raymond; Zhang, Chu - In: Journal of financial economics 54 (1999) 1, pp. 103-127

Persistent link: https://www.econbiz.de/10001407070

A new variance bound on the stochastic discount factor

Kan, Raymond; Zhou, Guofu - In: The journal of business : B 79 (2006) 2, pp. 941-961

Persistent link: https://www.econbiz.de/10003310426

In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models

Kan, Raymond; Wang, Xiaolu; Zheng, Xinghua - In: Journal of financial economics 155 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015072280

A moment-matching method for approximating vector autoregressive processes by finite-state Markov chains

Gospodinov, Nikolaj; Lkhagvasuren, Damba - In: Journal of applied econometrics 29 (2014) 5, pp. 843-859

Persistent link: https://www.econbiz.de/10010414842