Listagem Produção Intelectual em Bases Externas por autor "Garcia, René"
Itens para a visualização no momento 1-5 of 5
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Assessing misspecified asset pricing models with empirical likelihood estimators
2012-10Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ... -
Economic implications of nonlinear pricing kernels
2017-10Based 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 ... -
Generalized disappointment aversion, long-run volatility risk, and asset prices
2011We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ... -
Nonparametric tail risk, stock returns, and the macroeconomy
2016This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ... -
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
2017The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ...
