Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance
得分驱动资产定价：基于截面模型表现预测时变风险溢价
This paper proposes a new parametric approach for estimating linear factor pricing models with dynamic risk premia. Time-varying risk prices and exposures follow an observation-driven updating scheme that reduces the one-step-ahead prediction error from a cross-sectional factor model at the current observation. This agnostic approach is particularly useful in situations where predictors are unknown or of uncertain quality. Updating schemes for elliptically distributed…