Solving Euler equations via two-stage nonparametric penalized splines
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DOI: 10.1016/j.jeconom.2020.04.042
Abstract: Abstract This study proposes a novel estimation-based approach to solving asset pricing models for both stationary and time-varying observations. Our method is robust to misspecification errors while inheriting a closed-form solution. By representing the Euler… read more here.
Keywords: penalized splines; solving euler; stage nonparametric; two stage ... See more keywords