Nonparametric estimation and testing of stochastic discount factor
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References listed on IDEAS
- Hansen, Lars Peter & Jagannathan, Ravi, 1997.
" Assessing Specification Errors in Stochastic Discount Factor Models,"
Journal of Finance,
American Finance Association, vol. 52(2), pages 557-590, June.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
- Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
- Jagannathan, Ravi & Wang, Zhenyu, 1996.
" The Conditional CAPM and the Cross-Section of Expected Returns,"
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- Lewbel, Arthur, 2007. "A local generalized method of moments estimator," Economics Letters, Elsevier, vol. 94(1), pages 124-128, January.
- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
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More about this item
KeywordsStochastic discount factor; Nonparametric estimation; HJ distance;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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