Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958464 | Journal of Empirical Finance | 2009 | 10 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Heber K. Farnsworth,