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A Bayesian approach to diagnosis of asset pricing models

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  • Stutzer, Michael
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 68 (1995)
    Issue (Month): 2 (August)
    Pages: 367-397

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    Handle: RePEc:eee:econom:v:68:y:1995:i:2:p:367-397

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. Bekaert, Geert & Hodrick, Robert J, 1992. " Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 467-509, June.
    3. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of Security Market Data for Models of Dynamic Economies," NBER Technical Working Papers 0089, National Bureau of Economic Research, Inc.
    4. Bansal, Ravi & Viswanathan, S, 1993. " No Arbitrage and Arbitrage Pricing: A New Approach," Journal of Finance, American Finance Association, vol. 48(4), pages 1231-62, September.
    5. Hua He and David M. Modest., 1992. "Market Frictions and Consumption-Based Asset Pricing," Research Program in Finance Working Papers RPF-223, University of California at Berkeley.
    6. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128, September.
    7. Epstein, Larry G. & Zin, Stanley E., 2001. "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 537-572, December.
    8. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1994. " Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," Journal of Finance, American Finance Association, vol. 49(1), pages 123-52, March.
    9. Luttmer, Erzo G J, 1996. "Asset Pricing in Economies with Frictions," Econometrica, Econometric Society, vol. 64(6), pages 1439-67, November.
    10. Snow, Karl N, 1991. " Diagnosing Asset Pricing Models Using the Distribution of Asset Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 955-83, July.
    11. Handa, Puneet & Kothari, S P & Wasley, Charles, 1993. " Sensitivity of Multivariate Tests of the Capital Asset-Pricing Model to the Return Measurement Interval," Journal of Finance, American Finance Association, vol. 48(4), pages 1543-51, September.
    12. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    13. Snickars, Folke & Weibull, Jorgen W., 1977. "A minimum information principle : Theory and practice," Regional Science and Urban Economics, Elsevier, vol. 7(1-2), pages 137-168, March.
    14. McCulloch, Robert & Rossi, Peter E., 1990. "Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 28(1-2), pages 7-38.
    15. Zellner, Arnold & Highfield, Richard A., 1988. "Calculation of maximum entropy distributions and approximation of marginalposterior distributions," Journal of Econometrics, Elsevier, vol. 37(2), pages 195-209, February.
    16. Vinod, H. D., 1982. "Maximum entropy measurement error estimates of singular covariance matrices in undersized samples," Journal of Econometrics, Elsevier, vol. 20(2), pages 163-174, November.
    17. Soofi, Ehsan S., 1990. "Effects of collinearity on information about regression coefficients," Journal of Econometrics, Elsevier, vol. 43(3), pages 255-274, March.
    18. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
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    Cited by:
    1. Govindaraj, Suresh, 2005. "Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities," Finance Research Letters, Elsevier, vol. 2(4), pages 234-247, December.
    2. Ebrahimi, Nader & Maasoumi, Esfandiar & Soofi, Ehsan S., 1999. "Ordering univariate distributions by entropy and variance," Journal of Econometrics, Elsevier, vol. 90(2), pages 317-336, June.
    3. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    4. Almeida, Caio & Garcia, René, 2012. "Assessing misspecified asset pricing models with empirical likelihood estimators," Journal of Econometrics, Elsevier, vol. 170(2), pages 519-537.
    5. Kitamura, Yuichi & Stutzer, Michael, 2002. "Connections between entropic and linear projections in asset pricing estimation," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 159-174, March.
    6. Aziz, Andrew R. & Prisman, Eliezer Z., 2000. "After-tax term structures of real interest rates: Inferences from the UK linked and non-linked gilt markets," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1433-1455, September.
    7. Andreia Dionisio & Rui Menezes & Diana A. Mendes & Jacinto Vidigal da Silva, 2004. "Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors," Econometrics 0411018, EconWPA.
    8. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    9. Marco Avellaneda & Craig Friedman & Richard Holmes & Dominick Samperi, 1997. "Calibrating volatility surfaces via relative-entropy minimization," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(1), pages 37-64.
    10. Anisha Ghosh & Christian Julliard, 2011. "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers dp691, Financial Markets Group.

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