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Rejoinder on : pseudo-true SDFs in conditional asset pricing models
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Antoine, Bertille, Proulx, Kevin and Renault, Eric (2020) Rejoinder on : pseudo-true SDFs in conditional asset pricing models. Journal of Financial Econometrics, 18 (4). pp. 776-790. nbaa019. doi:10.1093/jjfinec/nbaa019 ISSN 1479-8409.
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Official URL: http://dx.doi.org/10.1093/jjfinec/nbaa019
Abstract
We are extremely grateful to the discussants appointed by the co-editors of Journal of Financial Econometrics for their thorough and constructive comments on our paper. Lars P. Hansen has chosen to set the focus on the population analysis while Patrick Gagliardini and Diego Ronchetti have co-authored an impressive contribution mainly devoted to (statistical) comparison of estimators. Furthermore, Sydney Ludvigson, on the one hand, Raymond Kan and Cesare Robotti, on the other, have shared their discussion between the two dual issues of population analysis and inferential methods. We are also grateful to Rachidi Kotchoni for his discussion at the 2018 CIREQ Econometrics Conference on “Recent Advances in the Method of Moments”...
Item Type: | Journal Article | ||||||||
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Divisions: | Faculty of Social Sciences > Economics | ||||||||
Journal or Publication Title: | Journal of Financial Econometrics | ||||||||
Publisher: | Oxford University Press | ||||||||
ISSN: | 1479-8409 | ||||||||
Official Date: | September 2020 | ||||||||
Dates: |
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Volume: | 18 | ||||||||
Number: | 4 | ||||||||
Page Range: | pp. 776-790 | ||||||||
Article Number: | nbaa019 | ||||||||
DOI: | 10.1093/jjfinec/nbaa019 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
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