Cesare Robot

University of Georgia

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Scholarly Papers (1)

1.

Too Good to Be True? Fallacies in Evaluating Risk Factor Models

FRB Atlanta Working Paper No. 2017-9
Number of pages: 70 Posted: 03 Jan 2018
Nikolay Gospodinov, Raymond Kan and Cesare Robot
Federal Reserve Bank of Atlanta, University of Toronto - Rotman School of Management and University of Georgia
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Abstract:

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asset pricing, spurious risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, goodness-of-fit, rank test