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Three essays on the estimation of asset pricing models
| Content Provider | Semantic Scholar |
|---|---|
| Author | Brandão, Diego Gusmão |
| Copyright Year | 2016 |
| Abstract | The thesis consists in three articles about the estimation of asset pricing models. The rst paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA preferences when the economy is characterized by rare disasters. In the second article, we develop and test a methodology to assess misspeci ed asset pricing models by taking into account the smallest probability distortion necessary to assign correct prices. In the nal paper, we estimate an approximate long run risks model using Brazilian data. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://bibliotecadigital.fgv.br/dspace/bitstream/handle/10438/17994/Tese%20-%20Versao%20final%20-%20Diego%20Brandao.pdf?isAllowed=y&sequence=1 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |