## Abstract We use recent statistical tests, based on a ‘distance’ between the model and the Hansen–Jagannathan bound, to compute the rejection rates of __true__ models. For asset‐pricing models with time‐separable preferences, the finite‐sample distribution of the test statistic associated with th
✦ LIBER ✦
Evaluating asset pricing models using the second Hansen-Jagannathan distance
✍ Scribed by Haitao Li; Yuewu Xu; Xiaoyan Zhang
- Book ID
- 113711225
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 696 KB
- Volume
- 97
- Category
- Article
- ISSN
- 0304-405X
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Evaluating asset-pricing models using th
✍
Christopher Otrok; B. Ravikumar; Charles H. Whiteman
📂
Article
📅
2002
🏛
John Wiley and Sons
🌐
English
⚖ 222 KB
Evaluating the consumption-capital asset
✍
Tom Engsted
📂
Article
📅
1998
🏛
John Wiley and Sons
🌐
English
⚖ 219 KB
The consumption based capital asset pricing model is evaluated using bounds and 68 years of annual UK data. In contrast to the standard statistical methodology, the Hansen -Jagannathan methodology is fully non-parametric and based on only one principle from economic theory, namely the Law of One Pr