Assessing Specification Errors in Stochastic Discount Factor Models
收藏NBER1994-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0153
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资源简介：
In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null hypothesis that models are correct, our measures of
提供机构：
美国国家经济研究局
创建时间：
1994-02-01
