Approximating the Asset Pricing Kernel

David Chapman ()

Working Papers from Rochester, Business - Financial Research and Policy Studies

Abstract: This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel directly using orthonormal polynominals.

Keywords: CAPITAL MARKET; ASSETS; PRICING (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Pages: 41 pages
Date: 1996
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Citations: View citations in EconPapers (15)

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Journal Article: Approximating the Asset Pricing Kernel (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:robufr:96-02

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