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Approximating the Asset Pricing Kernel

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Author Info
Chapman, D.A.

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Abstract

This paper suggests a general approach to testing dynamic models by approximating the true asset pricing kernel directly using orthonormal polynominals.

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Publisher Info
Paper provided by Rochester, Business - Financial Research and Policy Studies in its series Papers with number 96-02.

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Length: 41 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:robufr:96-02

Contact details of provider:
Postal: UNIVERSITY OF ROCHESTER, WILLIAM E. SIMON GRADUATE SCHOOL OF BUSINESS ADMINISTRATION, Bradley Policy Research Center, ROCHESTER NEW YORK 14627 U.S.A.
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Web page: http://www.simon.rochester.edu/
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Related research
Keywords: CAPITAL MARKET ASSETS PRICING

Other versions of this item:

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

Cited by:
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  1. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics. [Downloadable!]
  3. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  4. Fousseni Chabi-Yo, 2006. "Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence," Working Papers 06-38, Bank of Canada. [Downloadable!]
  5. Yu Ren & Katsumi Shimotsu, 2007. "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Working Papers 1126, Queen's University, Department of Economics. [Downloadable!]
  6. Robert E. Hall, 2003. "Dynamics of corporate earnings," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
  7. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  8. Fabio Araujo & João Victor Issler & Marcelo Fernandes, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  9. Gomes, Joao F & Yaron, Amir & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  10. Thierry Post & Haim Levy, 2002. "Does Risk Seeking drive Asset Prices?," Tinbergen Institute Discussion Papers 02-070/2, Tinbergen Institute. [Downloadable!]
  11. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
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This page was last updated on 2008-7-29.

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