Chabi-Yo, 2008 - Google Patents

Conditioning information and variance bounds on pricing kernels with higher-order moments: Theory and evidence

Chabi-Yo, 2008

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Document ID
8663451509598952786
Author
Chabi-Yo F
Publication year
Publication venue
The Review of Financial Studies

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Snippet

We develop a strategy for utilizing higher moments, variance risk premia, and conditioning information efficiently, and hence improve on the variance bounds computed by Hansen and Jagannathan; Gallant, Hansen, and Tauchen; and Bekaert and Liu. Our bounds reach …
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