Estimation and Evaluation of Conditional Asset Pricing Models

Stefan Nagel, Kenneth J. Singleton

NBER Working Paper No. 16457
Issued in October 2010

---- Acknowledgments ----

We are grateful to seminar participants at Baruch College, the Berkeley-Stanford joint finance seminar, London Business School, Northwestern University, Princeton University, UC San Diego, the National Bureau of Economic Research, and the Western Finance Association Meetings, as well as to Fousseni Chabi-Yo, Wayne Ferson, Lars Hansen, the Editor, and two anonymous referees, for helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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