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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
In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators. The...
Persistent link: https://www.econbiz.de/10012474465