HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: HJBounds computes (and optionally graphs) the Hansen-Jagannathan bounds for a set of returns, as a function of the unobserved mean of a riskfree asset. Hansen and Jagannathan(1991), "Implications of Security Market Data for Models of Dynamic Economics", JPE, vol 99, 225-262.

Language: RATS
Requires: RATS 5.00
Keywords: Hansen-Jagannathan; bounds (search for similar items in EconPapers)
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