A frequency decomposition of approximation errors in stochastic discount factor models.

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 frequenc...

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Publicado en:	International Economic Review Vol. 42; no. 2; pp. 473 - 504
Autor principal:	Cogley, Timothy
Formato:	Artículo
Publicado:	Wiley-Blackwell May 2001
Materias:	Approximation theory Decomposition method Stochastic processes Error analysis in mathematics Mathematical models of consumption
Acceso en línea:	Ver este registro en EBSCOhost