Bayesian Estimation of Stochastic Discount Factors

Stephen Gordon, Lucie Samson and Benoit Carmichael

Journal of Business & Economic Statistics, 1996, vol. 14, issue 4, 412-20

Abstract: This article provides a Bayesian method of estimating the marginal posterior distributions for stochastic discount factors associated with observed asset returns. These estimates can be used to provide measures of fit for asset pricing models and to identify broad features of the characteristics that should be explained. These measures of fit can be used to supplement model evaluation exercises based on L. P. Hansen-R. Jagannathan bounds.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:14:y:1996:i:4:p:412-20

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