Stochastic discount factor bounds and rare events: a review

Description

Submitted by Maurício da Silva Medeiros Júnior ([e-mail]) 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).

Links & Downloads

1. MEDEIROS 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.
2. http://hdl.handle.net/10438/16459

Tags

Stochastic Discount Factors

Information-Theoretic Bounds

Implicit Utility Maximizing Weights

Rare Events

Disaster Models

Economia

Modelo de precificação de ativos

Risco (Economia)

Additional Fields

Identifer	oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/16459
Date	22 March 2016
Creators	Medeiros Júnior, Maurício da Silva
Contributors	Costa, Carlos Eugênio da, Vicente, José, Escolas::EPGE, FGV, Almeida, Caio Ibsen Rodrigues de
Source Sets	IBICT Brazilian ETDs
Language	English
Detected Language	English
Type	info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis
Source	reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV
Rights	info:eu-repo/semantics/openAccess