Abstract
This chapter discusses some important specification problems that arise in applications of the no-arbitrage pricing theory. These include testing fitness of an assumed model, various aspects of a multi-factor model, and relations between the models under probability measures Q and Q*.
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© 2003 Springer Science+Business Media New York
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Kariya, T., Liu, R.Y. (2003). Model Specifications in Applications. In: Asset Pricing. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-9230-7_6
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DOI: https://doi.org/10.1007/978-1-4419-9230-7_6
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-4849-8
Online ISBN: 978-1-4419-9230-7
eBook Packages: Springer Book Archive