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Assessing misspecified asset pricing models with empirical likelihood estimators
(Elsevier Science Sa, 2012-10)
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ...
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds
(Sociedade Brasileira de Econometria, 2017)
An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
(2016-03-21)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ...
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
(Sociedade Brasileira de Econometria, 2017-05-25)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ...