This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator is an asymptotic least squares estimator defi ned by the no-arbitrage conditions upon which these models are built. Further, we...

We develop a new approach to evaluate asset pricing models (APMs) based on Minimum Discrepancy (MD) projections that generalize the Hansen-Jagannathan (HJ, 1997) distance to account for an arbitrary number of moments of asset returns. The Minimum Discrepancy projections correct APMs to become...

We develop a new approach to identify model misspecifications based on Minimum Discrepancy (MD) projections that correct asset pricing models with the use of nonlinear functions of basis assets returns. These nonlinear corrections make our method more effective than the Hansen and Jagannathan...