Evaluating stochastic discount factors from term structure models
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References listed on IDEAS
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- Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
More about this item
KeywordsStochastic discount factors Term structure models Monte Carlo method GMM estimator;
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