Wang, Zhenyu; Zhang, Xiaoyan - In: Journal of Empirical Finance 19 (2012) 1, pp. 65-78
Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian...
