Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of Risk and Financial Management 14 (2021) 3, pp. 1-15
We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior. Previous methods in the literature directly or indirectly use some particular parametric asset-pricing models such as with long-run risks or habits as the prior. Here, in...