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Hansen-Jagannathan distance 1 model selection tests 1 no-arbitrage constraint 1 specification tests 1 stochastic discount factor 1
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Free 1
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Book / Working Paper 1
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Working Paper 1
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English 1
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Gospodinov, Nikolay 1 Kan, Raymond 1 Robotti, Cesare 1
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Working Paper 1
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EconStor 1
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Did you mean: subject:"no-arbitrage constraints" (10 results)
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On the Hansen-Jagannathan distance with a no-arbitrage constraint
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2010
that incorporates a no-arbitrage constraint. We show that for stochastic discount factors (SDF) that are spanned by the … returns, we derive explicit solutions for the HJ distance with a no-arbitrage constraint, the associated Lagrange multipliers … limiting theory for estimation, testing, and comparison of SDFs using the HJ distance with a no-arbitrage constraint. …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010292304
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