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
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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). |
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