Minimum-variance kernels, economic risk premia, and tests of multi-beta models
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Cited by:
- Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2008. "Estimates of foreign exchange risk premia: a pricing kernel approach," Empirical Economics, Springer, vol. 35(3), pages 475-495, November.
- van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003. "Economic Hedging Portfolios," Discussion Paper 2003-102, Tilburg University, Center for Economic Research.
- Cesare Robotti, 2001. "The price of inflation and foreign exchange risk in international equity markets," FRB Atlanta Working Paper 2001-26, Federal Reserve Bank of Atlanta.
- van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
- Balduzzi, Pierluigi & Robotti, Cesare, 2008.
"Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 354-368.
- Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2005-04, Federal Reserve Bank of Atlanta.
- van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003. "Economic Hedging Portfolios," Other publications TiSEM c9461c14-c6d6-425f-8395-9, Tilburg University, School of Economics and Management.
- Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, vol. 5(3), pages 1-20, July.
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Keywords
Risk; Asset pricing; Econometric models;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2002-02-15 (Financial Markets)
- NEP-PKE-2002-02-15 (Post Keynesian Economics)
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