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来源类型Working Paper
规范类型报告
DOI10.3386/w26418
来源IDWorking Paper 26418
Measuring \u201cDark Matter\u201d in Asset Pricing Models
Hui Chen; Winston Wei Dou; Leonid Kogan
发表日期2019-12-02
出版年2019
语种英语
摘要We formalize the concept of “dark matter” in asset pricing models by quantifying the additional informativeness of cross-equation restrictions about fundamental dynamics. The dark matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark matter measure signifies that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out-of-sample fit). The measure can be computed at low cost even for complex dynamic structural models. To illustrate its applications, we provide quantitative examples applying the measure to (time-varying) rare-disaster risk and long-run risk models.
主题Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information ; Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w26418
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/584170
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Hui Chen,Winston Wei Dou,Leonid Kogan. Measuring \u201cDark Matter\u201d in Asset Pricing Models. 2019.
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