Research and publications
Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family of convex functions that take into account higher moments of asset returns. A revisited version of this paper was published in the October 2012 issue of the Journal of Econometrics.
Author(s):
Caio Almeida, René Garcia
Summary:
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family of convex functions that take into account higher moments of asset returns. A revisited version of this paper was published in the October 2012 issue of the Journal of Econometrics.
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Register/Log in| Type : | Working paper |
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| Date : | 05/02/2011 |
| Keywords : |
Asset Pricing |
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