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• W2890569499 abstract "Abstract This paper proposes a natural extension of the classical (Hansen and Jagannathan, 1991, 1997) for performance evaluation of asset pricing models. Our new distance captures misspecification of asset pricing models in terms of arbitrary moments of the stochastic discount factors, as opposed to the Hansen–Jagannathan distance which focuses only on the second moment. The relationship between the new distance and the pricing error is established. A key representation of the new distance is obtained by solving the conjugate problem explicitly." @default.
• W2890569499 created "2018-09-27" @default.
• W2890569499 creator A5003046565 @default.
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• W2890569499 date "2019-06-01" @default.
• W2890569499 modified "2023-09-27" @default.
• W2890569499 title "Extending the Hansen–Jagannathan distance measure of model misspecification" @default.
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• W2890569499 doi "https://doi.org/10.1016/j.frl.2018.09.006" @default.
• W2890569499 hasPublicationYear "2019" @default.
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