Econometric Evaluation of Asset Pricing Models
提供计量工具，利用设定误差和波动性边界评估跨期资产定价模型，给出估计量的一致性和极限分布，并纳入卖空约束等市场摩擦，可用于检验具体模型和刻画定价异象。
In this article we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency, and derive the limiting distribution of these estimators. The analysis incorporates market frictions such as short-sale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing models and to provide non-parametric characterizations of asset pricing anomalies.