Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Author "Ardison, Kym Marcel Martins"

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Applications of nonlinear stochastic discount factors in performance analysis and tail risk

Ardison, Kym Marcel Martins
2018-04-12

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ...
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

Ardison, Kym Marcel Martins
2015-02-12

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...