Nonparametric estimation and testing of stochastic discount factor

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	Nonparametric estimation and testing of stochastic discount factor
	Fang, Ying ; Ren, Yu ; Yuan, Yufei ; Fang Y(方颖)
刊名	http://dx.doi.org/10.1016/j.frl.2011.04.001
	2011-12
关键词	CROSS-SECTION MODELS RETURNS ERRORS
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 mis-specification 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. (C) 2011 Elsevier Inc. All rights reserved.
语种	英语
出版者	FINANC RES LETT
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91494]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Fang, Ying,Ren, Yu,Yuan, Yufei,et al. Nonparametric estimation and testing of stochastic discount factor[J]. http://dx.doi.org/10.1016/j.frl.2011.04.001,2011.
APA	Fang, Ying,Ren, Yu,Yuan, Yufei,&方颖.(2011).Nonparametric estimation and testing of stochastic discount factor.http://dx.doi.org/10.1016/j.frl.2011.04.001.
MLA	Fang, Ying,et al."Nonparametric estimation and testing of stochastic discount factor".http://dx.doi.org/10.1016/j.frl.2011.04.001 (2011).