Internet Appendix for Estimation and Evaluation of Conditional Asset Pricing Models∗

Citation Format: Nagel, Stefan, and Kenneth J. Singleton, YEAR, Internet Appendix to “Estimation and Evaluation of Conditional Asset Pricing Models,” Journal of Finance VOL, pages, http://www.afajof.org/IA/YEAR.asp. Please note: Wiley-Blackwell is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing material) should be directed to the authors of the article. Stanford University, Graduate School of Business, 518 Memorial Way, Stanford, CA 94305, e-mail: Nagel [email protected], http://faculty-gsb.stanford.edu/nagel Stanford University, Graduate School of Business, 518 Memorial Way, Stanford, CA 94305, e-mail: [email protected], http://www.stanford.edu/∼kenneths/