Connections between entropic and linear projections in asset pricing estimation

Journal of Econometrics

Volumn 107, Issue 1-2, 2002, Pages 159-174

  Kitamura, Yuichi ^a   Stutzer, Michael ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF IOWA   (United States)

Author keywords

Entropy; GMM; Information; Large deviations; Stochastic discount factor

Indexed keywords

COMPUTER SIMULATION; CONSTRAINT THEORY; COST ACCOUNTING; ERROR ANALYSIS; FUNCTION EVALUATION; LINEAR EQUATIONS; MATHEMATICAL MODELS; METHOD OF MOMENTS; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES; STATISTICAL TESTS;

ASSET PRICING; ECONOMETRICS; GENERALIZED METHOD OF MOMENTS (GMM); PRICE DISCOUNTS;

ECONOMICS;

EID: 0346307448     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00118-X     Document Type: Article

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