Approximating the Asset Pricing Kernel
AbstractThis paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel directly using orthonormal polynominals.
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Bibliographic InfoPaper provided by Rochester, Business - Financial Research and Policy Studies in its series Papers with number 96-02.
Length: 41 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: UNIVERSITY OF ROCHESTER, WILLIAM E. SIMON GRADUATE SCHOOL OF BUSINESS ADMINISTRATION, Bradley Policy Research Center, ROCHESTER NEW YORK 14627 U.S.A.
Web page: http://www.simon.rochester.edu/
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CAPITAL MARKET ; ASSETS ; PRICING;
Other versions of this item:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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