Approximating the Asset Pricing Kernel
This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel directly using orthonormal polynominals.
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|Date of creation:||1996|
|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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