Conditioning Information and Variance Bounds on Pricing Kernels
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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
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美国国家经济研究局创建时间：
1999-01-01
