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Stochastic discount factor bounds and rare events: a review

Submitted by Maurício da Silva Medeiros Júnior (mauriciojr.df@gmail.com) on 2016-04-06T21:06:49Z
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Previous issue date: 2016-03-22 / 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 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).

Identiferoai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/16459
Date22 March 2016
CreatorsMedeiros Júnior, Maurício da Silva
ContributorsCosta, Carlos Eugênio da, Vicente, José, Escolas::EPGE, FGV, Almeida, Caio Ibsen Rodrigues de
Source SetsIBICT Brazilian ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Sourcereponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rightsinfo:eu-repo/semantics/openAccess

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