A new measure of model misspecification with the no-arbitrage constraint : extending the second Hansen-Jagannathan distance
Yuewu Xu
| Year of publication: |
2021
|
|---|---|
| Authors: | Xu, Yuewu |
| Subject: | Stochastic discount factor | Hansen-Jagannathan distance | Lp-distance | Higher moments | Skewness and Kurtosis | No-arbitrage | CAPM | Modellierung | Scientific modelling | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Arbitrage | Diskontierung | Discounting | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-020-00913-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012498599