Implicit in the prices of traded financial assets are Arrow- Debreu state prices or, in the continuous-state case, the state-price density (SPD). We construct an estimator for the SPD implicit in option prices and derive an asymptotic sampling theory for this estimator to gauge its accuracy. The...

This paper studies semi-parametric identification and estimation of the stochastic discount factor in consumption-based asset pricing models with latent state variables. The measurement equations for consumption and dividend shares are specified non-parametrically to allow for robust updating of...

Matching asset price volatility in production economies is difficult. This paper shows that this difficulty can be summarized by three nested restrictions. First, matching asset price volatility requires volatile investment returns. Second, volatile investment returns require either large...