Similar Search Results

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

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

A Bayesian nonparametric approach to option pricing

Qin, Zhang; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 18 (2020) 4, pp. 115-137

Persistent link: https://www.econbiz.de/10012437054

Can a machine correct option pricing models?

Almeida, Caio; Fan, Jianqing; Freire, Gustavo; Tang, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 995-1009

Persistent link: https://www.econbiz.de/10014448492

Bayesian inference for discretely sampled Markov processes with closed-form likelihood expansions

Stramer, Osnat; Bognar, Matthew; Schneider, Paul - In: Journal of financial econometrics : official journal of … 8 (2010) 4, pp. 450-480

Persistent link: https://www.econbiz.de/10008665746

Empirical asset pricing with nonlinear risk premia

Mijatović, Aleksandar; Schneider, Paul - 2009

Persistent link: https://www.econbiz.de/10009428004

Density approximations for multivariate affine jump-diffusion processes

Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul - In: Journal of econometrics 176 (2013) 2, pp. 93-111

Persistent link: https://www.econbiz.de/10009786528

Empirical asset pricing with nonlinear risk premia

Mijatović, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506

Persistent link: https://www.econbiz.de/10010391949

Mispricing and uncertainty in international markets

Sandulescu, Mirela; Schneider, Paul - 2021

We develop Residual MisPricing (RMP), an index capturing mispricing relative to a linear benchmark asset pricing model, from the structure imposed by no-arbitrage. RMP is fully conditional and depends only on the returns of basic assets. Return data for several economies reveal that RMP is...

Persistent link: https://www.econbiz.de/10012487677