Longarela, Iñaki R. - In: International Journal of Financial Markets and Derivatives 3 (2013) 2, pp. 137-178
Hansen and Jagannathan (1997) introduce a measure of model misspecification which is based on the L2-norm and which has been wildly used in recent years in order to estimate the parameters of linear factor models. Given the observed asymmetry and excess kurtosis of financial returns, this paper...