Now showing items 1-2 of 2

    • Economic implications of nonlinear pricing kernels 

      Almeida, Caio Ibsen Rodrigues de; Garcia, René
      Based on a family of discrepancy functions, we derive nonparametric stochastic discount factor bounds that naturally generalize variance, entropy, and higher-moment bounds. These bounds are especially useful to identify ...
    • Stochastic discount factor bounds and rare events: a review 

      Medeiros Júnior, Maurício da Silva
      We aim to provide a review of the stochastic discount factor bounds usually applied to diagnose asset pricing models. In particular, we mainly discuss the bounds used to analyze the disaster model of Barro (2006). Our ...