Bayesian Estimation of Stochastic Discount Factors.

This article provides a Bayesian method of estimating the marginal posterior distributions for stochastic discount factors associated with observed asset returns. These estimates can be used to provide measures of fit for asset pricing models and to identify broad features of the characteristics that should be explained. These measures of fit can be used to supplement model evaluation exercises based on L. P. Hansen-R. Jagannathan bounds.

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Year of publication:	1996
Authors:	Gordon, Stephen ; Samson, Lucie ; Carmichael, Benoit
Published in:	Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 14.1996, 4, p. 412-20
Publisher:	American Statistical Association

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005732574