This paper of Kleibergen, Kong, and Zhan (2021), hereafter KKZ, represents an excellent contribution to the vast literature that concerns testing the validity of asset pricing models. I will first outline the problem and then provide some thoughts on when are the proposed methodologies relevant or not.
Comment on. Identification robust testing of risk premia in finite samples / Zaffaroni, Paolo. - In: JOURNAL OF FINANCIAL ECONOMETRICS. - ISSN 1479-8409. - 21:2(2023), pp. 303-305.
Comment on. Identification robust testing of risk premia in finite samples
Paolo Zaffaroni
2023
Abstract
This paper of Kleibergen, Kong, and Zhan (2021), hereafter KKZ, represents an excellent contribution to the vast literature that concerns testing the validity of asset pricing models. I will first outline the problem and then provide some thoughts on when are the proposed methodologies relevant or not.File allegati a questo prodotto
File | Dimensione | Formato | |
---|---|---|---|
Zaffaroni_Comment_2023.pdf
accesso aperto
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Creative commons
Dimensione
178.82 kB
Formato
Adobe PDF
|
178.82 kB | Adobe PDF |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.