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Assessing specification errors in stochastic discount factor models
Hansen, Lars Peter; Jagannathan, Ravi - 1994
Persistent link: https://www.econbiz.de/10000910153
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Back to the future : generating moment implications for continuous-time Markov processes
Hansen, Lars Peter; Scheinkman, José Alexandre - 1993
Persistent link: https://www.econbiz.de/10000879019
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Assessing specification errors in stochastic discount factor models
Hansen, Lars Peter; Jagannathan, Ravi - 1994
Persistent link: https://www.econbiz.de/10000883126
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Assessing specification errors in stochastic discount factor models
Hansen, Lars Peter - In: The journal of finance : the journal of the American … 52 (1997) 2, pp. 557-590
Persistent link: https://www.econbiz.de/10001222442
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Econometric evaluation of asset pricing models
Hansen, Lars Peter - In: The review of financial studies 8 (1995) 2, pp. 237-274
Persistent link: https://www.econbiz.de/10001184653
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Back to the future : generating moment implications for continuous-time Markov processes
Hansen, Lars Peter - In: Econometrica : journal of the Econometric Society, an … 63 (1995) 4, pp. 767-804
Persistent link: https://www.econbiz.de/10001185696
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Assessing Specification Errors in Stochastic Discount Factor Models
Hansen, Lars Peter - 1994
stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null …
Persistent link: https://www.econbiz.de/10012474271
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Back to the Future : Generating Moment Implications for Continuous-Time Markov Processes
Hansen, Lars Peter - 1993
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method...
Persistent link: https://www.econbiz.de/10012474503
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Assessing Specification Errors in Stochastic Discount Factor Models
Hansen, Lars Peter; Jagannathan, Ravi - 2021
stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null …
Persistent link: https://www.econbiz.de/10013225177
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Back to the Future : Generating Moment Implications for Continuous-Time Markov Processes
Hansen, Lars Peter; Scheinkman, José - 2021
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method...
Persistent link: https://www.econbiz.de/10013227018