Conditioning Information and Variance Bounds on Pricing Kernels
收藏NBER1999-01-01 更新2025-01-04 收录
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https://www.nber.org/papers/w6880
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资源简介：
We show how to use conditioning information optimally to construct a sharper unconditional Hansen-Jagannathan (1991) bound. The approach in this paper is different from that of Gallant, Hansen and Tauchen (1990), but both approaches yield the same bound when the conditional moments are known. Unlike
提供机构：
美国国家经济研究局
创建时间：
1999-01-01
