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Creator: Duncan, George T. and Lin, Lizbie Gee-Sun Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 000 La description:
This paper was published with no issue number.
Mot-clé: Time series and Entry and exit Assujettir: C12 - Hypothesis Testing: General and C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Creator: Hansen, Lars Peter and Jagannathan, Ravi Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 167 Abstract:
In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on chi-squared statistics associated with null hypotheses that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is designed to exploit fully the implications of arbitrage-free pricing of derivative claims. We demonstrate empirically the usefulness of methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature.
Assujettir: C13 - Estimation: General, G10 - General Financial Markets: General (includes Measurement and Data), G12 - Asset Pricing; Trading Volume; Bond Interest Rates, E30 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data), C10 - Econometric and Statistical Methods and Methodology: General, and C12 - Hypothesis Testing: General