EconPapers    
Economics at your fingertips  
 

A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models

Timothy Cogley ()

International Economic Review, 2001, vol. 42, issue 2, 473-503

Abstract: This article extends the work of Hansen and Jagannathan by showing how to decompose approximation errors in stochastic discount factor models by frequency. This decomposition is applied to a number of consumption-based discount factor models in order to investigate how well they fit at low frequencies. There is some evidence of improved fit at low frequencies, but only in models with high degrees of risk aversion. In models with low degrees of risk aversion, approximation errors at low frequencies are just as severe as those at high frequencies.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (18)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: A frequency decomposition of approximation errors in stochastic discount factor models (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ier:iecrev:v:42:y:2001:i:2:p:473-503

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598

Access Statistics for this article

International Economic Review is currently edited by Harold L. Cole

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and ().

 
Page updated 2025-03-19
Handle: RePEc:ier:iecrev:v:42:y:2001:i:2:p:473-503