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dc.contributor.advisorAlmeida, Caio Ibsen Rodrigues de
dc.contributor.authorMedeiros Júnior, Maurício da Silva
dc.date.accessioned2016-04-27T18:21:05Z
dc.date.available2016-04-27T18:21:05Z
dc.date.issued2016-03-22
dc.identifier.citationMEDEIROS JÚNIOR, Maurício da Silva. Stochastic discount factor bounds and rare events: a review. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2016.
dc.identifier.urihttp://hdl.handle.net/10438/16459
dc.description.abstractWe 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 attention is focused in this disaster model since the stochastic discount factor bounds that are applied to study the performance of disaster models usually consider the approach of Barro (2006). We first present the entropy bounds that provide a diagnosis of the analyzed disaster model which are the methods of Almeida and Garcia (2012, 2016); Ghosh et al. (2016). Then, we discuss how their results according to the disaster model are related to each other and also present the findings of other methodologies that are similar to these bounds but provide different evidence about the performance of the framework developed by Barro (2006).eng
dc.language.isoeng
dc.subjectStochastic discount factoreng
dc.subjectInformation-theoretic boundseng
dc.subjectImplicit utility maximizing weightseng
dc.subjectRare eventseng
dc.subjectDisaster modelseng
dc.titleStochastic discount factor bounds and rare events: a revieweng
dc.typeDissertationeng
dc.subject.areaEconomiapor
dc.contributor.unidadefgvEscolas::EPGEpor
dc.subject.bibliodataModelo de precificação de ativospor
dc.subject.bibliodataRisco (Economia)por
dc.contributor.affiliationFGV
dc.contributor.memberCosta, Carlos Eugênio da
dc.contributor.memberVicente, José


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