| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4497 |
| DP4497 Symmetrical Research Joint Ventures: Cooperative Substitutes and Complements | |
| Peter Neary; Dermot Leahy | |
| 发表日期 | 2004-07-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centred or uncentred mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are asymptotically equivalent to the existing spanning tests under the null and sequences of local alternatives, and analyse their asymptotic relative efficiency. We also extend the theory of optimal GMM inference to deal with the singularities that arise in some spanning tests. Finally, we include an empirical application to money markets in Europe. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Asymptotic slopes Gmm Representing portfolios Singular covariance Matrix |
| URL | https://cepr.org/publications/dp4497 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533440 |
| 推荐引用方式 GB/T 7714 | Peter Neary,Dermot Leahy. DP4497 Symmetrical Research Joint Ventures: Cooperative Substitutes and Complements. 2004. |
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