Nonparametric Stochastic Discount Factor Decomposition

DOI10.3982/ECTA11600zbMath1410.62200arXiv1412.4428OpenAlexW2953149310MaRDI QIDQ4614973

Timothy M. Christensen

Publication date: 1 February 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.4428

zbMATH Keywords

nonparametric estimationstochastic discount factorpermanent-transitory decompositionsieve estimationnonparametric value function estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07)

Related Items (9)

Existence and uniqueness of recursive utilities without boundedness ⋮ Long-term factorization in Heath-Jarrow-Morton models ⋮ SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION ⋮ Long-term factorization of affine pricing kernels ⋮ Semiparametric estimation of latent variable asset pricing models ⋮ Solving Euler equations via two-stage nonparametric penalized splines ⋮ Stability of equilibrium asset pricing models: a necessary and sufficient condition ⋮ Functional Ross recovery: theoretical results and empirical tests ⋮ NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION

This page was built for publication: Nonparametric Stochastic Discount Factor Decomposition