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...

Nonparametric methods for the estimation of the Levy density of a Levy process X are developed. Estimators that can be writtenin terms of the "jumps" of X are introduced, and so are discrete-data based approximations. A model selection approach made up oftwo steps is investigated. The first step...