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. - (2023).
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
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