[Statlist] Research seminar in statistics FRIDAY MAY 19th 2017, GSEM University of Geneva

[Karen Longden Roure]

Dear All,

We are pleased to invite you to our next Research Seminar -

Looking forward to seeing you

Organisers :
E. Cantoni - D. La Vecchia - E. Ronchetti -
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

FRIDAY MAY 19th 2017 at 11h15, Uni-Mail M5220

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance
Diego Ronchetti - University of Groningen, Netherlands

ABSTRACT:

We compare non-nested parametric specifications of the Stochastic Discount Factor (SDF) using the conditional Hansen-Jagannathan (HJ-) distance, which is defined as the discrepancy between an SDF family identifying an asset pricing model and the set of admissible SDF's satisfying the conditional no-arbitrage restrictions. This distance accounts for the models'ability to match the dynamic pricing restrictions for the test assets, and not just the unconditional pricing restrictions for a specific choice of managed portfolios (instruments). We estimate the conditional HJ-distance by a kernel-based Generalized Method of Moments estimator and establish its large sample properties for model selection purposes. We demonstrate empirically the usefulness of our approach by comparing several SDF models including preference-based specifications and some recently proposed SDF models that are conditionally linear in the priced risk factors.

Authors. Gagliardini & Ronchetti

Visit the website: http://www.stat-center.unige.ch/ressem.html

Best regards,

Karen Longden
Program Coordinator
MSc. in Management, MSc. in Economics, MSc. in Statistics
Université de Genève, Uni-Mail
Faculté d'Economie & Management, GSEM


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