Stochastic Discount Factor Bounds with Conditioning Information
نویسندگان
چکیده
منابع مشابه
Stochastic Discount Factor Bounds with Conditioning Information
Hansen and Jagannathan (HJ, 1991) describe restrictions on the volatility of stochastic discount factors (SDFs) that price a given set of asset returns. This paper compares the sampling properties of different versions of HJ bounds that use conditioning information in the form of a given set of lagged instruments. HJ describe one way to use conditioning information. Their approach is to multipl...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2003
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhg004