Search Results - subject:"Hansen-Jagannathan Distance"

Empirical asset pricing with many test assets

Lönn, Rasmus; Schotman, Peter C. - 2024

Persistent link: https://www.econbiz.de/10015338790

The cross-section of Chinese corporate bond returns

Zhang, Xiaoyan; Zhang, Zijian - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-16

represent the common risk of corporate bonds-credit risk and liquidity risk-and use the Hansen-Jagannathan distance to evaluate …

Persistent link: https://www.econbiz.de/10014514164

Comparação CAPM x modelos lower partial moments nos mercados brasileiro e americano

Herrera, Christian Jonnatan Jacobsen Soto; Perobelli, … - In: Revista Brasileira de Finanças : RBFin 16 (2018) 2, pp. 285-335

Persistent link: https://www.econbiz.de/10012125225

Cross-sectional tests of asset pricing models with full-rank mimicking portfolios

Kim, Jinyong; Kim, Kun Ho; Lee, Jeong Hwan - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012822275

Tradable or nontradable factors : what does the Hansen-Jagannathan distance tell us?

Zhang, Xiang; Liu, Yangyi; Wu, Kun; Maillet, Bertrand - In: International review of economics & finance : IREF 71 (2021), pp. 853-879

Persistent link: https://www.econbiz.de/10012630782

A new measure of model misspecification with the no-arbitrage constraint : extending the second Hansen-Jagannathan distance

Xu, Yuewu - In: Review of quantitative finance and accounting 56 (2021) 3, pp. 917-938

Persistent link: https://www.econbiz.de/10012498599

Comparing asset pricing models by the conditional Hansen-Jagannathan distance

Gagliardini, Patrick; Ronchetti, Diego - In: Journal of financial econometrics 18 (2020) 2, pp. 333-394

Persistent link: https://www.econbiz.de/10012232965

Pseudo-true SDFs in conditional asset pricing models

Antoine, Bertille; Proulx, Kevin; Renault, Eric - In: Journal of financial econometrics 18 (2020) 4, pp. 656-714

Persistent link: https://www.econbiz.de/10012405513

Extending the Hansen-Jagannathan distance measure of model misspecification

Xu, Yuewu; Yao, Xiangkun - In: Finance research letters 29 (2019), pp. 384-392

Persistent link: https://www.econbiz.de/10012419240

Comparing Consumption-based Asset Pricing Models: The Case of an Asian City

Kwan, Yum K.; Leung, Charles Ka Yui; Dong, Jinyue - Volkswirtschaftliche Fakultät, … - 2014

Eight consumption-based asset pricing models are developed, estimated and compared their capacities in accounting for the asset markets in Hong Kong. Results based on conventional metrics or recently developed econometric techniques deliver similar results: introducing housing into the...

Persistent link: https://www.econbiz.de/10011107741