Arbeitspapier
The exact distribution of the Hansen-Jagannathan bound
Under the assumption of multivariate normality of asset returns, this paper presents a geometrical interpretation and the finite-sample distributions of the sample Hansen-Jagannathan (1991) bounds on the variance of admissible stochastic discount factors, with and without the nonnegativity constraint on the stochastic discount factors. In addition, since the sample Hansen-Jagannathan bounds can be very volatile, we propose a simple method to construct confidence intervals for the population Hansen-Jagannathan bounds. Finally, we show that the analytical results in the paper are robust to departures from the normality assumption.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2008-9
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
Hansen-Jagannathan bound
exact distribution
no-arbitrage
- Event
-
Geistige Schöpfung
- (who)
-
Kan, Raymond
Robotti, Cesare
- Event
-
Veröffentlichung
- (who)
-
Federal Reserve Bank of Atlanta
- (where)
-
Atlanta, GA
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kan, Raymond
- Robotti, Cesare
- Federal Reserve Bank of Atlanta
Time of origin
- 2008
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