Nonparametric Estimation and Testing of Stochastic Discount Factor

CORC > 厦门大学 > 王亚南院－已发表论文

	Nonparametric Estimation and Testing of Stochastic Discount Factor
	Ying Fang ; Yu Ren ; Yufei Yuan
刊名	http://www.wise.xmu.edu.cn/paperInfor.asp?id=202
	2013-11-08
关键词	Stochastic Discount Factor Nonparametric Estimation HJ Distance
英文摘要	This paper attempts to estimate stochastic discount factor (SDF) proxies nonparametrically using the conditional Hansen-Jagannathan distance. Nonparametric estimation can not only avoid misspecification when dealing with nonlinearity in the model but also provide more precise information about the local properties of the estimators. Empirical studies show that our method performs better than the alternative parametric polynomial models, and furthermore, we find that the return on aggregate wealth can sufficiently explain the SDF proxies when one deals with nonlinearity appropriately.; This paper is accepted to publish in Finance Research Letters.
语种	中文
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/56981]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Ying Fang,Yu Ren,Yufei Yuan . Nonparametric Estimation and Testing of Stochastic Discount Factor[J]. http://www.wise.xmu.edu.cn/paperInfor.asp?id=202,2013.
APA	Ying Fang,Yu Ren,&Yufei Yuan .(2013).Nonparametric Estimation and Testing of Stochastic Discount Factor.http://www.wise.xmu.edu.cn/paperInfor.asp?id=202.
MLA	Ying Fang,et al."Nonparametric Estimation and Testing of Stochastic Discount Factor".http://www.wise.xmu.edu.cn/paperInfor.asp?id=202 (2013).