Bayesian estimation of stochastic discount factors

被引：0
|
作者：
Gordon, S [1 ]
Samson, L [1 ]
Carmichael, B [1 ]
机构：
[1] UNIV LAVAL,CREFA,LAVAL,PQ G1K 7P4,CANADA
来源：
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1996年 / 14卷 / 04期
关键词：
asset pricing; Hansen-Jagannathan bounds; Markov-chain Monte Carlo; Metropolis Hastings algorithm;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article provides a Bayesian method of estimating the marginal posterior distributions for stochastic discount factors associated with observed asset returns. These estimates can be used to provide measures of fit for asset-pricing models and to identify broad features of the characteristics that should be explained. These measures of fit can be used to supplement model-evaluation exercises based on Hansen-Jagannathan bounds.
引用
收藏
页码：412 / 420
页数：9
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