Evaluating stochastic discount factors from term structure models

Autor:	Heber Farnsworth
Rok vydání:	2009
Předmět:	Economics and Econometrics Stochastic modelling Stochastic discount factor As is Bond Monte Carlo method Econometrics Economics Estimator Observable Proxy (statistics) Finance
Zdroj:	Journal of Empirical Finance. 16:852-861
ISSN:	0927-5398
DOI:	10.1016/j.jempfin.2009.06.004
Popis:	This paper examines the feasibility of applying the stochastic discount factor methodology to fixed-income data using modern term structure models. Using this approach the researcher can examine returns on bond portfolios whose exact composition is unknown, as is often the case. This paper proposes an observable proxy for the SDF from continuous-time models and documents via Monte Carlo methods the properties of the GMM estimator based on using this proxy.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::f5897ea0090f98f214ccd989e04ca51f https://doi.org/10.1016/j.jempfin.2009.06.004 Zobrazit plný text záznamu Full Text from ScienceDirect