Almeida, Caio; Garcia, René - In: Journal of Econometrics 170 (2012) 2, pp. 519-537
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum Discrepancy projections where misspecification is measured by a family...